Package TradingStrategies

Package description: TradingStrategies

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          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:
 

Package TradingStrategies Description

Package description: 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).