alphaLib is a library of R functions for defining trading strategies and for performing backtesting (both in-sample and out-of-sample).
alphaLib can be thought of as a simpler and lighter version of the quantstrat package from the TradeAnalytics project.
alphaLib functions can be used in conjunction with other packages like TTR, PerformanceAnalytics, and quantmod.
List of files:
- alphaModel.R contains the core alphaModel library functions,
- chartLib.R contains functions for time series data plotting,
- chartLib.new.R contains new versions of functions for time series data plotting,
- dataLib.R contains functions for reading and writing time series data from/to OneTick,
- funcUtil.R contains various utility functions,
- utilLib.R contains generic utility functions for handling strings, xts objects, etc.,
- optimLib.R contains functions for portfolio optimization, objective functions for optimization of model parameters,
- riskLib.R contains functions for calculating portfolio risk/return statistics (variance, correlation, Hurst exponent), and for running risk/return statistics,
- retiredLib.R contains deprecated functions.