Jeff Enos
2020-May-27 23:14 UTC
[R-pkgs] strand: A Framework for Investment Strategy Simulation
Hi all, I'm pleased to announce that the 'strand' package is now available on CRAN. The package provides a framework for performing discrete (share-level) simulations of investment strategies. Simulated portfolios optimize exposure to an input signal subject to constraints such as position size, factor and category exposure limits, and trading limits. Features include YAML-based configuration, realistic trade filling based on percentage of actual volume, and automatic loosening of exposure constraints if no solution is found. CRAN: https://CRAN.R-project.org/package=strand GitHub: https://github.com/strand-tech/strand Please let me know if you have any feedback or questions. Best, Jeff Enos [[alternative HTML version deleted]]