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Define Scope of new Trading/Finance package framework #1

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mannau opened this issue Mar 9, 2023 · 1 comment
Open

Define Scope of new Trading/Finance package framework #1

mannau opened this issue Mar 9, 2023 · 1 comment
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@AndyArtquantmod

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@mannau
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mannau commented Mar 9, 2023 •
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Currently, there exist no good trading framework for R. Existing ones are:

Chicago guys

  • quantmod
  • PerformanceAnalytics
  • quantstrat
  • PortfolioAnalytics
  • TTR
  • xts

Modern packages

  • tidyquant (with tidyfinance book)

It would be great to have

a) A modern package framework/infrastructure to do trading/finance with R
b) A course on the quantargo platform teaching necessary skills.

Questions to answer are:

  1. does it pay off to create a new package ecosystem -> which parts?
  2. Which steps are necessary to build one, prioritize

In detail:

  • Definition of data structures (which ts object), how does a portfolio object look like? orders? transactions? etc.

Support general workflow:

  1. Get Data/Symbols
  2. Define Strategy
  3. optional: optimize strategy paramters
  4. generate orders
  5. generate transactions
  6. Show performance
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AndyArtquantmod commented Mar 9, 2023 via email

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@mannau @AndyArtquantmod