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TradingStrategies
See:
Description
Class Summary  
StrategyAverageDown  A strategy which starts with 100 shares and increases the number of shares by another 100 shares whenever the asset price declines a certain trigger percentage below the level at the last buy. 
StrategyBuyAndHold  A strategy which buys 100 shares and holds them to the horizon. 
StrategyDeltaHedging  The trading strategy which trades in the underlying to hedge a short position in one option on one share of the underlying using one of the following weights: 
StrategyDollarCostAverage  A strategy which buys 100 shares at regular intervals regardless of price. 
StrategyDoubleOrNothing  A strategy which starts with 100 shares and increases the number of shares by a factor f whenever the asset price declines a certain trigger percentage below the level at the last buy. 
TradingStrategy  A trading strategy investing in only one asset. 
VectorStrategy  A trading strategy investing in a Basket (vector of baskets). 
VectorStrategyDeltaHedging  The trading strategy which trades in the underlying to hedge a short position in one option on one share of the underlying using one of the following weights: 
TradingStrategies
This package defines trading strategies trading in one or more assets.
Several concrete strategies are implemented most importantly option hedging
strategies (StrategyDeltaHedging
) using any one of the hedge
weights defined in the class Option
.
Each trading strategy has a method to return the discounted gains from
trading as a random variable and a more complete set of statistics as a
random vector. In this way means, variances and histograms can all be
computed easily by calling the respective methods in the class
RandomVariable
(RandomVector
).


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