[R-pkgs] strand: A Framework for Investment Strategy Simulation
je|| @end|ng |rom @tr@nd@tech
Thu May 28 01:14:08 CEST 2020
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.
Please let me know if you have any feedback or questions.
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