strand: A Framework for Investment Strategy Simulation

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 and factor exposure. For background see L. Chincarini and D. Kim (2010, ISBN:978-0-07-145939-6) "Quantitative Equity Portfolio Management".

Version: 0.2.0
Depends: R (≥ 3.5.0)
Imports: R6, Matrix, Rglpk, dplyr, tidyr, arrow, lubridate, rlang, yaml, ggplot2, tibble, methods
Suggests: testthat, knitr, rmarkdown, shiny, shinyFiles, shinyjs, DT, Rsymphony, officer, flextable, plotly
Published: 2020-11-19
DOI: 10.32614/CRAN.package.strand
Author: Jeff Enos [cre, aut, cph], David Kane [aut], Ben Czekanski [ctb], Robert Hoover [ctb], Jack Luby [ctb], Nils Wallin [ctb]
Maintainer: Jeff Enos <jeffrey.enos at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
In views: Finance
CRAN checks: strand results


Reference manual: strand.pdf
Vignettes: Backtesting with strand


Package source: strand_0.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): strand_0.2.0.tgz, r-oldrel (arm64): strand_0.2.0.tgz, r-release (x86_64): strand_0.2.0.tgz, r-oldrel (x86_64): strand_0.2.0.tgz
Old sources: strand archive


Please use the canonical form to link to this page.