| title | author |
|---|---|
R Scripts for Developing and Testing Trading Strategies |
Jerzy Pawlowski (algoquant) |
Contains various R script files for developing trading strategies, like historical data exploration, discovering new indicators, identifying correlations, lead-lag relationships, etc.
Also contains various R script files for performing backtests of trading strategies using external packages, like the legacy alphaLib package.
The script files are in the directory: C:\Develop\R\scripts
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alphaScripts.R is the main collection of scripts for data exploration and model backtests,
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alphaScripts_legacy is a very big collection of legacy scripts for performing backtests using the legacy alphaLib package,
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varsToyMod.R contains a very good script for running the alphaModel for a VAR model, which can be adapted for running other models,
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funcDevelop.R contains experimental R functions for future use,