Brian G. Peterson
Brian G. Peterson
I find that with both audio and video filters, I often want to slightly adjust the filter *values*. It would be possible to set up several stepped values as different...
The NFA 13-column report is described here: https://www.nfa.futures.org/NFA-compliance/publication-library/disclosure-document-guide.pdf _blotter_ currently supports most of the features of the 13-column report. It would be desirable to add pro-forma fees to a blotter...
Now-archived package [VaR](https://cran.r-project.org/src/contrib/Archive/VaR/) had methods for Monte-Carlo VaR, Pareto Var, and lognormal Var, as well as a VaR backtest. We should port/replicate this functionality in PerformanceAnalytics.
Joe W. Beyers @ecjbosu has proposed a set of modifcations to PerformanceAnalytics to allow passing of moments everywhere, and to take cash/price inputs as opposed to returns. He said, in...
The SharpeRatio.haircut function is very slow for a large audit environment. It seems likely that loops and especially memory allocation inside those loops is the culprit. There is likely also...
The SharpeRatio.deflated function is very slow for a large audit environment. It seems likely that loops and especially memory allocation inside those loops is the culprit. There is likely also...
#64 added code for the Harvey and Liu Profit Hurdle to the sandbox in commit [17bdca](https://github.com/braverock/quantstrat/commit/17bdca92b0dd8e09eb6a51ebc6c4011597d6a247). #64 did not integrate this code, so creating an issue so we don't lose...
[Suhonen(2017)](http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.2.090?journalCode=jpm) creates a complexity score metric for evaluating backtest overfitting. We should integrate this into quantstrat.