1
Introduction
1.1
R Resources
1.2
Libraries
1.3
SessionInfo
2
Terminology
3
Using Quantsrat
3.1
Settings and Variables
3.2
Symbols
3.3
checkBlotterUpdate()
4
Get Symbols
4.1
Yahoo!
4.2
Google
4.3
MySQL
4.4
FRED
4.5
OANDA
5
Basic Strategy
5.1
Strategy Setup
5.2
Add Indicators
5.3
Add Signals
5.4
Add Rules
5.5
Apply Strategy
6
Data Quality
6.1
Yahoo! vs. Google
6.2
Examining Trades
7
Parameter Optimization
7.1
Add Distribution
7.2
Add Distribution Constraint
7.3
Running Parallel
7.4
Apply Paramset
8
Stop-Loss Orders
8.1
Add Indicators
8.2
Add Signals
8.3
Add Rules
8.4
Add Position Limit
8.5
Enable Rules
8.6
Apply Strategy
9
Stop Loss Optimization
9.1
Add Indicators
9.2
Add Signals
9.3
Add Rules
9.4
Add Position Limit
9.5
Add Distribution
9.6
Add Distribution Constraint
9.7
Enable Rules
9.8
Apply Paramset
10
Trailing Stops
10.1
osFixedDollar
10.2
Add Indicators
10.3
Add Signals
10.4
Add Rules
10.5
Enable Rules
10.6
Save Strategy
11
Obtaining Resources
11.1
Amazon Web Services
11.2
Getting Started
11.2.1
Installing Quantstrat
11.3
Testing Resources
11.4
Changing Instances
11.5
Stop the Server
11.6
Reading Resources
12
Analyzing Results
12.1
Apply Strategy
12.2
Chart Positions
12.3
Trade Statistics
12.3.1
Trade Related
12.3.2
Profit Related
12.3.3
Averages
12.3.4
Performance Summary
12.3.5
Per Trade Statistics
12.3.6
Performance Statistics
12.3.7
Risk Statistics
12.3.8
Buy and Hold Performance
12.3.9
Strategy vs. Market
12.3.10
Risk/Return Scatterplot
12.3.11
Relative Performance
12.3.12
Portfolio Summary
12.3.13
Order Book
12.3.14
Maximum Adverse Excursion
12.3.15
Maximum Favorable Excursion
12.4
Account Summary
12.4.1
Equity Curve
12.4.2
Account Performance Summary
12.4.3
Cumulative Returns
12.4.4
Distribution Analysis
12.4.5
Annualized Returns
12.4.6
Performance Scatter Plot
12.4.7
Notional Costs
13
Walk Forward Analysis
14
Monte Carlo Analysis
15
Warnings and Errors
15.1
Must use auto.assign=TRUE for multiple Symbols requests
15.2
Missing in call to function add.distribution
16
About “Backtesting Strategies with R”
16.1
Tim Trice
16.2
To You, the Reader
Backtesting Strategies with R
Chapter 13
Walk Forward Analysis