quantstrat

Quantitative Analytics: Optimal Portfolio Allocation

I cover a number of portfolio optimisation models using R from the literature, the portfolio allocation models might be extended to the Black-Litterman model etc.

Learning the Quantstrat and Blotter packages

I generate a rolling logistic backtesting function which outputs predicted probabilities, based on these probabilities I construct investment criteria and test whether positive returns can be made (lots of work still to do)