joshuaulrich / lspm
R implementation of Ralph Vince's Leverage Space Portfolio Model
☆20Updated 8 years ago
Alternatives and similar repositories for lspm
Users that are interested in lspm are comparing it to the libraries listed below
Sorting:
- Digital Signal Trading (John Ehlers indicators)☆92Updated 6 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆119Updated 4 months ago
- Web GUI for backtesting pair trading statistical arbitrage portfolio strategies☆27Updated 8 years ago
- R package for high frequency time series data management☆62Updated last month
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- A set of simple tools to assist users of the Interactive Brokers API.☆28Updated last year
- Ilya Kipnis's miscellaneous quantstrat extensions, indicators, and order-sizing functions.☆119Updated 3 years ago
- MT4 -> R interface library☆38Updated 11 years ago
- Notebooks and stuff from quantfiction.com☆37Updated 5 years ago
- R package for high frequency trading (HFT) backtests, intraday portfolio analysis and portfolio optimization.☆16Updated 9 years ago
- ☆17Updated 3 years ago
- Simple Risk Premia Strategy☆35Updated 3 years ago
- Monkey patches to grease the Interactive Brokers Python API☆17Updated 6 years ago
- Book on backtesting strategies in R using blotter, quantstrat, FinancialInstruments, TTR packages☆109Updated 6 years ago
- ☆79Updated 3 months ago
- Functions for the construction of risk-based portfolios☆52Updated 3 years ago
- ☆45Updated 10 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 5 years ago
- R API to Interactive Brokers Trader Workstation☆73Updated 8 months ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- Proof of concept Cointegration-Based spread trading strategy applied to the Foreign Exchange market☆35Updated 9 years ago
- ☆26Updated last year
- Automatically exported from code.google.com/p/ibswigsystematicexamples☆36Updated 8 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 3 years ago
- ☆25Updated 7 years ago
- R package for financial simulation☆42Updated last week
- An R Package for testing the Efficient Market Hypothesis☆28Updated 8 years ago
- Probability of Backtest Overfitting☆48Updated 2 years ago
- obAnalytics Shiny front-end☆75Updated 6 years ago
- An R implementation of Interactive Brokers API☆41Updated 2 weeks ago