quantstrat

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Add option to do signal analysis in returns space

1

Resolves #144 by adding a variable to flag whether we want to do signal analysis in returns space instead of on the levels.

clairdelaluna

signals.R -- post.signal.returns function returns only difference in levels, not returns

3

### Description As in title -- when using the apply.paramset.signal.analysis function, which calls on the post.signal.returns function, we're seeing the changes in the level, rather than returns. ### Expected behavior...

clairdelaluna

Hi I've read through all the packages and code and the only question I have really is will I be able to look for specific pattern in a certain time...

Ckat31

Example of decoupling strategy and backtesting

10

Hi guys, very nice package! I am planning in comparing the most prominent open source backtesting packages and wonder whether it is possible to use only your backtest tool without...

systats

Hello, is possibile to have 2 position: one long and one short? Why if I have a long position, an enter rule on short side close my previous long position?...

VitoFanelli

Implement Triple Barrier Method from "Advances in Financial Machine Learning" - De Prado 2018

5

De Prado (https://www.amazon.com/Advances-Financial-Machine-Learning-Marcos/dp/1119482089) introduces the Triple Barrier Method concept for labeling observations in a potential ML model for time series. The 3 barriers are 2 horizontal bars (representing profit-taking and...

jaymon0703

Add demo showing code of price action indicators & signals

12

### Description There are no known examples of coding price actions for quantstrat. After days of hunting, I've found nothing on the web, the presentations, or PDFs. The commercial software,...

climbthemt

tradeGraphs will not render if more than two optimizing parameters are in a strategy

5

### Description Ran a simple optimization of an MACD example using `apply.paramset(.)`, with three paramsets: Fast MA, Slow MA, and Signal MA. When finished, I tried using `tradeGraphs(.)` on pairs...

QuantDevHacks

Fix a trivial typo in the applyStrategy() doc

hsm207

Is it possible to create a fee function to add rollover fees? For example I want to impute -0.05 (fee) to every day I hold position opened. So if my...

VitoFanelli