Execution-Oriented Strategy Workflows for Dynamic Trading Decisions

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Documentation for package ‘strategyr’ version 0.1.7.1

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B C F G M P R S

-- B --

backtest_portfolio_weights Backtest Portfolio Target Weights
backtest_rcpp Run a Path-Dependent Backtest
build_order_intents Build Portfolio Order Intents

-- C --

calc_ADX Add Average Directional Index Features
calc_aroon Add Aroon Features
calc_ATR Add Average True Range Features
calc_ATR_quantile Add ATR Quantile Features
calc_backtest_performance Backtest Performance Metrics
calc_bid_ask_spread Add Bid-Ask Spread Features
calc_BollingerBands Add Bollinger Band Features
calc_bond_accrued_interest Compute Bond Accrued Interest
calc_bond_carry Compute Bond Carry Return
calc_bond_carry_roll_decomp Decompose Bond Carry And Roll Return
calc_bond_cashflows Compute Bond Cash Flows
calc_bond_clean_price Compute Bond Clean Price
calc_bond_convexity Compute Bond Convexity
calc_bond_current_yield Compute Bond Current Yield
calc_bond_dirty_price Compute Bond Dirty Price
calc_bond_duration Compute Bond Macaulay Duration
calc_bond_dv01 Compute Bond DV01
calc_bond_econvexity Compute Effective Bond Convexity
calc_bond_eduration Compute Effective Bond Duration
calc_bond_holding_period_return Compute Bond Holding-Period Return
calc_bond_key_rate_duration Compute Bond Key Rate Duration
calc_bond_key_rate_duration_tenor Compute Bond Key Rate Duration By Curve Tenor
calc_bond_mduration Compute Bond Modified Duration
calc_bond_next_coupon Compute Next Coupon Date
calc_bond_nominal_spread Compute Bond Nominal Spread
calc_bond_npv Compute Bond Net Present Value
calc_bond_prev_coupon Compute Previous Coupon Date
calc_bond_price_change_approx Approximate Bond Price Change From Duration And Convexity
calc_bond_pv01 Compute Bond PV01
calc_bond_rate_return_approx Approximate Bond Rate Return
calc_bond_risk_state Compute Bond Risk State
calc_bond_roll_down_return Compute Bond Roll-Down Return
calc_bond_spread_duration Compute Bond Spread Duration
calc_bond_spread_return_approx Approximate Bond Spread Return
calc_bond_total_return_decomp Decompose Bond Total Return
calc_bond_yield Compute Bond Yield To Maturity
calc_bond_zspread Compute Bond Z-Spread
calc_bond_zspread_return_approx Approximate Bond Z-Spread Return
calc_breadth_ad Compute Advance-Decline Breadth
calc_breadth_adl Compute Advance-Decline Line
calc_breadth_high_low Compute New-High New-Low Breadth
calc_breadth_ratio Compute Advance-Decline Ratio
calc_breadth_trin Compute TRIN Breadth
calc_CCI Add CCI Features
calc_chaikinAD Add Chaikin Accumulation Distribution Features
calc_chaikinVolatility Add Chaikin Volatility Features
calc_CMF Add Chaikin Money Flow Features
calc_CMO Add Chande Momentum Oscillator Features
calc_contango_backwardation Compute Contango-Backwardation Regime
calc_coupon_schedule Compute Coupon Schedule
calc_credit_spread Add Credit-Spread Features
calc_curve_butterfly Compute Yield Curve Butterfly
calc_curve_shock Shock A Zero-Rate Curve
calc_curve_slope Compute Yield Curve Slope
calc_curve_zero_rate Interpolate Zero Rates On A Curve
calc_day_count_frac Compute Day-Count Fraction
calc_DEMA Add Double Exponential Moving Average Features
calc_DonchianChannels Add Donchian Channel Features
calc_EMA Add Exponential Moving Average Features
calc_EMA_cross Add EMA-Cross Strategy Targets
calc_EMV Add Ease of Movement Features
calc_excess_spread Add Excess-Spread Features
calc_front_next_spread Compute Front-Next Futures Spread
calc_futures_curve_butterfly Compute Futures Curve Butterfly
calc_futures_curve_slope Compute Futures Curve Slope
calc_fx_basis Add FX Basis Features
calc_fx_carry Add FX Carry Features
calc_fx_forward_points Add FX Forward-Points Features
calc_fx_realized_carry Add FX Realized-Carry Features
calc_HMA Add Hull Moving Average Features
calc_KeltnerChannels Add Keltner Channel Features
calc_KST Add Know Sure Thing Features
calc_kurtosis Add Rolling Kurtosis Features
calc_ladder_index Add Signed Fibonacci Ladder Indices
calc_log_spread Add Log-Spread Features
calc_MACD Add MACD Features
calc_MFI Add Money Flow Index Features
calc_microprice Add Microprice Features
calc_mid_price Add Mid-Price Features
calc_normalize Add Min-Max Normalization Features
calc_OBV Add On-Balance Volume Features
calc_option_delta Compute Option Delta
calc_option_forward_moneyness Add Option Forward-Moneyness Features
calc_option_gamma Compute Option Gamma
calc_option_greeks Compute Option Greeks
calc_option_iv Compute Option Implied Volatility
calc_option_iv_skew Compute Option Implied-Volatility Skew
calc_option_iv_term_structure Compute Option Implied-Volatility Term Structure
calc_option_moneyness Add Option Moneyness Features
calc_option_put_call_iv_spread Compute Option Put-Call IV Spread
calc_option_rho Compute Option Rho
calc_option_risk_state Compute Option Risk State
calc_option_smile_slope Compute Option Smile Slope
calc_option_theta Compute Option Theta
calc_option_vega Compute Option Vega
calc_order_imbalance Add Order-Imbalance Features
calc_percent_rank Add Rolling Percent-Rank Features
calc_period_rate Compute Per-Period Yield Rates
calc_position_greeks Compute Position Greeks
calc_price_impact_proxy Add Price-Impact Proxy Features
calc_ratio Add Ratio Features
calc_realized_vol Add Realized Volatility Features
calc_relative_strength Add Relative-Strength Features
calc_ROC Add Rate of Change Features
calc_rolling_beta Add Rolling Beta Features
calc_rolling_corr Add Rolling Correlation Features
calc_rolling_quantile Add Rolling Quantile Features
calc_roll_yield Compute Annualized Roll Yield
calc_RSI Add Relative Strength Index Features
calc_SAR Add Parabolic SAR Features
calc_skewness Add Rolling Skewness Features
calc_slippage_proxy Add Slippage-Proxy Features
calc_SMA Add Simple Moving Average Features
calc_SMI Add Stochastic Momentum Index Features
calc_spread Add Spread Features
calc_spread_curve_butterfly Compute Spread-Curve Butterfly
calc_spread_curve_slope Compute Spread-Curve Slope
calc_StochasticOscillator Add Stochastic Oscillator Features
calc_strategy_performance_summary Standard Backtest Performance Summary
calc_term_structure_carry Compute Term-Structure Carry
calc_tracking_error Add Rolling Tracking-Error Features
calc_TRIX Add TRIX Features
calc_turnover Add Turnover Features
calc_ultimateOscillator Add Ultimate Oscillator Features
calc_VWAP Add Volume-Weighted Average Price Features
calc_VWMA Add Volume-Weighted Moving Average Features
calc_WMA Add Weighted Moving Average Features
calc_WPR Add Williams Percent R Features
calc_ZLEMA Add Zero-Lag Exponential Moving Average Features
calc_zscore Add Z-Score Features
compare_strategy_backtests Compare Strategy Backtests

-- F --

filter_walk_forward_results Filter Walk-Forward Results for Overfit Risk

-- G --

gen_action_plan_rcpp Generate a Market-Order Action Plan

-- M --

mine_strategy_assets Mine Strategy Assets
mine_strategy_asset_years Mine Strategy Parameters Across Asset-Year Pairs
mine_strategy_params Mine Strategy Parameters
mine_strategy_walk_forward Walk-Forward Strategy Mining

-- P --

plan_curve_trade_adjustment Plan Curve Trade Adjustment
plan_delta_neutral_adjustment Plan Delta-Neutral Adjustment
plan_duration_neutral_adjustment Plan Duration-Neutral Adjustment
plan_portfolio_adjustment Plan Portfolio Adjustments
plan_vega_target_adjustment Plan Vega Target Adjustment

-- R --

rank_strategy_results Rank Strategy Results

-- S --

select_strategy_params Select Strategy Parameter Candidates
strategy_monitor_definition Strategy Monitor Definition
strategy_public_definition Public Strategy Definition
strat_atr_breakout_action_plan ATR-Breakout Action Plan
strat_atr_breakout_tgt_pos ATR-Breakout Target Positions
strat_atr_breakout_trailing_stop_action_plan ATR-Breakout-Trailing-Stop Action Plan
strat_atr_breakout_trailing_stop_tgt_pos ATR-Breakout-Trailing-Stop Target Positions
strat_bollinger_low_adx_revert_action_plan Bollinger-Low-ADX-Reversion Action Plan
strat_bollinger_low_adx_revert_tgt_pos Bollinger-Low-ADX-Reversion Target Positions
strat_bollinger_revert_action_plan Bollinger-Reversion Action Plan
strat_bollinger_revert_rsi_action_plan Bollinger-Reversion-RSI Action Plan
strat_bollinger_revert_rsi_tgt_pos Bollinger-Reversion-RSI Target Positions
strat_bollinger_revert_tgt_pos Bollinger-Reversion Target Positions
strat_bollinger_squeeze_breakout_action_plan Bollinger-Squeeze-Breakout Action Plan
strat_bollinger_squeeze_breakout_tgt_pos Bollinger-Squeeze-Breakout Target Positions
strat_bond_carry_roll_action_plan Bond-Carry-and-Roll Action Plan
strat_bond_carry_roll_duration_cap_action_plan Bond-Carry-and-Roll-Duration-Cap Action Plan
strat_bond_carry_roll_duration_cap_tgt_pos Bond-Carry-and-Roll-Duration-Cap Target Positions
strat_bond_carry_roll_spread_filter_action_plan Bond-Carry-and-Roll-Spread-Filter Action Plan
strat_bond_carry_roll_spread_filter_tgt_pos Bond-Carry-and-Roll-Spread-Filter Target Positions
strat_bond_carry_roll_tgt_pos Bond-Carry-and-Roll Target Positions
strat_buy_and_hold_action_plan Buy-And-Hold Action Plan
strat_buy_and_hold_tgt_pos Buy-And-Hold Target Positions
strat_credit_spread_momentum_action_plan Credit-Spread-Momentum Action Plan
strat_credit_spread_momentum_tgt_pos Credit-Spread-Momentum Target Positions
strat_credit_spread_revert_action_plan Credit-Spread-Reversion Action Plan
strat_credit_spread_revert_tgt_pos Credit-Spread-Reversion Target Positions
strat_cross_sectional_rank_allocator_action_plan Cross-Sectional-Rank-Allocator Action Plan
strat_cross_sectional_rank_allocator_tgt_pos Cross-Sectional-Rank-Allocator Target Positions
strat_curve_butterfly_action_plan Curve-Butterfly Action Plan
strat_curve_butterfly_tgt_pos Curve-Butterfly Target Positions
strat_curve_steepener_action_plan Curve-Steepener Action Plan
strat_curve_steepener_tgt_pos Curve-Steepener Target Positions
strat_curve_steepener_zscore_action_plan Curve-Steepener-Z-Score Action Plan
strat_curve_steepener_zscore_tgt_pos Curve-Steepener-Z-Score Target Positions
strat_donchian_breakout_action_plan Donchian-Breakout Action Plan
strat_donchian_breakout_tgt_pos Donchian-Breakout Target Positions
strat_donchian_retest_breakout_action_plan Donchian-Retest-Breakout Action Plan
strat_donchian_retest_breakout_tgt_pos Donchian-Retest-Breakout Target Positions
strat_donchian_turtle_action_plan Donchian-Turtle Action Plan
strat_donchian_turtle_tgt_pos Donchian-Turtle Target Positions
strat_ema_cross_action_plan EMA-Cross Action Plan
strat_ema_cross_adx_action_plan EMA-Cross-ADX Action Plan
strat_ema_cross_adx_tgt_pos EMA-Cross-ADX Target Positions
strat_ema_cross_slope_confirm_action_plan EMA-Cross-Slope-Confirm Action Plan
strat_ema_cross_slope_confirm_tgt_pos EMA-Cross-Slope-Confirm Target Positions
strat_ema_cross_tgt_pos EMA-Cross Target Positions
strat_ema_triple_trend_action_plan EMA-Triple-Trend Action Plan
strat_ema_triple_trend_tgt_pos EMA-Triple-Trend Target Positions
strat_funding_basis_convergence_action_plan Funding-Basis-Convergence Action Plan
strat_funding_basis_convergence_tgt_pos Funding-Basis-Convergence Target Positions
strat_fx_carry_action_plan FX-Carry Action Plan
strat_fx_carry_basket_rank_action_plan FX-Carry-Basket-Rank Action Plan
strat_fx_carry_basket_rank_tgt_pos FX-Carry-Basket-Rank Target Positions
strat_fx_carry_tgt_pos FX-Carry Target Positions
strat_fx_carry_trend_action_plan FX-Carry-Trend Action Plan
strat_fx_carry_trend_tgt_pos FX-Carry-Trend Target Positions
strat_gamma_scalp_support_action_plan Gamma-Scalp-Support Action Plan
strat_gamma_scalp_support_tgt_pos Gamma-Scalp-Support Target Positions
strat_iv_directional_overlay_action_plan IV-Directional-Overlay Action Plan
strat_iv_directional_overlay_tgt_pos IV-Directional-Overlay Target Positions
strat_iv_skew_action_plan IV-Skew Action Plan
strat_iv_skew_realized_vol_confirm_action_plan IV-Skew-Realized-Vol-Confirm Action Plan
strat_iv_skew_realized_vol_confirm_tgt_pos IV-Skew-Realized-Vol-Confirm Target Positions
strat_iv_skew_tgt_pos IV-Skew Target Positions
strat_iv_skew_zscore_action_plan IV-Skew-Z-Score Action Plan
strat_iv_skew_zscore_tgt_pos IV-Skew-Z-Score Target Positions
strat_iv_term_structure_action_plan IV-Term-Structure Action Plan
strat_iv_term_structure_tgt_pos IV-Term-Structure Target Positions
strat_ladder_bounce_action_plan Ladder Bounce Action Plan
strat_ladder_bounce_tgt_pos Ladder Bounce Target Positions
strat_ladder_breakout_action_plan Ladder Breakout Action Plan
strat_ladder_breakout_tgt_pos Ladder Breakout Target Positions
strat_macd_contrarian_action_plan MACD-Contrarian Action Plan
strat_macd_contrarian_tgt_pos MACD-Contrarian Target Positions
strat_macd_cross_action_plan MACD-Cross Action Plan
strat_macd_cross_tgt_pos MACD-Cross Target Positions
strat_macd_histogram_momentum_action_plan MACD-Histogram-Momentum Action Plan
strat_macd_histogram_momentum_tgt_pos MACD-Histogram-Momentum Target Positions
strat_macd_zero_line_action_plan MACD-Zero-Line Action Plan
strat_macd_zero_line_tgt_pos MACD-Zero-Line Target Positions
strat_pair_spread_bollinger_action_plan Pair-Spread-Bollinger Action Plan
strat_pair_spread_bollinger_tgt_pos Pair-Spread-Bollinger Target Positions
strat_pair_spread_half_life_revert_action_plan Pair-Spread-Half-Life-Reversion Action Plan
strat_pair_spread_half_life_revert_tgt_pos Pair-Spread-Half-Life-Reversion Target Positions
strat_pair_spread_revert_action_plan Pair-Spread-Reversion Action Plan
strat_pair_spread_revert_tgt_pos Pair-Spread-Reversion Target Positions
strat_ratio_revert_action_plan Ratio-Reversion Action Plan
strat_ratio_revert_tgt_pos Ratio-Reversion Target Positions
strat_regime_switch_action_plan Regime-Switching Action Plan
strat_regime_switch_tgt_pos Regime-Switching Target Positions
strat_relative_strength_action_plan Relative-Strength Action Plan
strat_relative_strength_dual_momentum_action_plan Relative-Strength-Dual-Momentum Action Plan
strat_relative_strength_dual_momentum_tgt_pos Relative-Strength-Dual-Momentum Target Positions
strat_relative_strength_persistence_action_plan Relative-Strength-Persistence Action Plan
strat_relative_strength_persistence_tgt_pos Relative-Strength-Persistence Target Positions
strat_relative_strength_tgt_pos Relative-Strength Target Positions
strat_roll_yield_action_plan Roll-Yield Action Plan
strat_roll_yield_cross_sectional_action_plan Roll-Yield-Cross-Sectional Action Plan
strat_roll_yield_cross_sectional_tgt_pos Roll-Yield-Cross-Sectional Target Positions
strat_roll_yield_mean_revert_action_plan Roll-Yield-Mean-Revert Action Plan
strat_roll_yield_mean_revert_tgt_pos Roll-Yield-Mean-Revert Target Positions
strat_roll_yield_momentum_action_plan Roll-Yield-Momentum Action Plan
strat_roll_yield_momentum_tgt_pos Roll-Yield-Momentum Target Positions
strat_roll_yield_tgt_pos Roll-Yield Target Positions
strat_rsi_divergence_action_plan RSI-Divergence Action Plan
strat_rsi_divergence_tgt_pos RSI-Divergence Target Positions
strat_rsi_dynamic_threshold_revert_action_plan RSI-Dynamic-Threshold-Reversion Action Plan
strat_rsi_dynamic_threshold_revert_tgt_pos RSI-Dynamic-Threshold-Reversion Target Positions
strat_rsi_logr_revert_action_plan Log-Return-RSI-Reversion Action Plan
strat_rsi_logr_revert_tgt_pos Log-Return-RSI-Reversion Target Positions
strat_rsi_revert_action_plan RSI-Reversion Action Plan
strat_rsi_revert_tgt_pos RSI-Reversion Target Positions
strat_rsi_trend_aware_revert_action_plan RSI-Trend-Aware-Reversion Action Plan
strat_rsi_trend_aware_revert_tgt_pos RSI-Trend-Aware-Reversion Target Positions
strat_straddle_action_plan Straddle Action Plan
strat_straddle_tgt_pos Straddle Target Positions
strat_strangle_action_plan Strangle Action Plan
strat_strangle_tgt_pos Strangle Target Positions
strat_trend_pullback_action_plan Trend-Pullback Action Plan
strat_trend_pullback_atr_action_plan Trend-Pullback-ATR Action Plan
strat_trend_pullback_atr_tgt_pos Trend-Pullback-ATR Target Positions
strat_trend_pullback_tgt_pos Trend-Pullback Target Positions
strat_vertical_spread_action_plan Vertical-Spread Action Plan
strat_vertical_spread_tgt_pos Vertical-Spread Target Positions
strat_vol_carry_action_plan Volatility-Carry Action Plan
strat_vol_carry_tgt_pos Volatility-Carry Target Positions
strat_vol_target_action_plan Vol-Targeted Action Plan
strat_vol_target_regime_floor_action_plan Vol-Target-Regime-Floor Action Plan
strat_vol_target_regime_floor_tgt_pos Vol-Target-Regime-Floor Target Positions
strat_vol_target_tgt_pos Vol-Targeted Target Positions
strat_vwap_revert_action_plan VWAP-Reversion Action Plan
strat_vwap_revert_tgt_pos VWAP-Reversion Target Positions
summarize_walk_forward_results Summarize Walk-Forward Mining Results