R_scripts/inventory.txt at master · algoquant/R_scripts · GitHub

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inventory of this directory:
C:\Develop\R\scripts
directory contains R script files for developing and testing trading models


#########
# scripts

alphaScripts.R
	collection of scripts for data exploration and model backtests

alphaScripts_legacy
	very big collection of legacy scripts for data munging and backtests using the legacy alphaLib library

func_develop.R
	functions under development

newScripts.R
	simple backtests of momentum and VAR models

scripts_hist.R
Rhistory 07-12-14.txt
	command history files
	HFREQ data scrubbing scripts using FinancialInstrument, blotter, quantstrat, and Defaults
	other misc scripts - delete them after extracting any valuable code


#########
# develop

hfreq_aggregation.R
	parsing and aggregating HFREQ data

AdaptiveAssetAllocation GL.R by GL
	legacy Jan-13 script to test Butler Adaptive Asset Allocation.pdf
	PortfolioAnalytics, DEoptim
	CDS momentum strategy

AdaptiveAssetAllocation erbas.R
	some third-party script

Chiara factor model forecasting.R
	scripts from Chiara Factor Model Forecasting.pdf

varsMod.R
alphaModelVAR.R
varsToyMod.R
	VAR models using package vars with alphaLib signals.ancillary

Single asset SMA.R
	scripts to replicate Siegel Faber moving average strategy using blotter package

Zivot portfolio.R by Zivot
	old portfolio optimization code

dlmDynReg.R by Zivot
	bynamic beta time-varying regression state space models using package dlm

Fossati State Space Models.R by Fossati
dlm_ex.R by Fossati
Petris State Space Models.R
	state space models using package dlm

v39i02.R by Fernando Tusell
	R chunks for "Kalman Filtering in R"

TimeTrial.R by GL
	filtSavGol model parallel backtests and parameter grid search using package snow with alphaLib

SIT code.r
SIT examples.R
	Systematic Investor Toolbox (SIT) by Michael Kapler


#########
# examples

option_vol.R
option_vol.txt
	implied volatility calibration example

timely exploring_factors_with_rcharts.R
	scripts to plot Fama and French using factorAnalytics and rCharts

quantmod examples.R - move
	very simple quantmod data loading code
	delete after extracting any valuable code

quantstrat examples.R
quantstrat scripts.R
	legacy scripts for using quantstrat


#########
# legacy scripts

alphaModelsTemp.R
	experimental alphaLib signals.ancillary and fillOrders

tsdPlotCoint.R
	legacy function to plot cointegration

chartScreen.R
	legacy scripts for CDS screens

GraphData.R
snUniverse.R
GenerateSimpleEquityGraph.R
GraphPortfolio.R
PortfolioGraphBase.R
GraphHighReturns.R
	legacy scripts for CDS plots


#########
# delete?

temp.R
	legacy code scraps - delete?

Tsay backtest.R by Ruey Tsay - delete?
Tsay foreplot.R by Ruey Tsay - delete?
	ugly backtest functions