A Framework for Investment Strategy Simulation
Run an example shiny app
Load example strategy configuration
Make Basic Flextable
Portfolio optimization class
Show Best/Worst Performers
Show Strategy Configuration
Show Strategy Constraints
Show monthly returns
Show Overall Stats Table
Simulation class
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".