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PortfolioEffectHFT  

High Frequency Portfolio Analytics by PortfolioEffect
View on CRAN: Click here


Download and install PortfolioEffectHFT package within the R console
Install from CRAN:
install.packages("PortfolioEffectHFT")

Install from Github:
library("remotes")
install_github("cran/PortfolioEffectHFT")

Install by package version:
library("remotes")
install_version("PortfolioEffectHFT", "1.8")



Attach the package and use:
library("PortfolioEffectHFT")
Maintained by
Andrey Kostin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-09-29
Latest Update: 2023-04-28
Description:
R interface to PortfolioEffect cloud service for backtesting high frequency trading (HFT) strategies, intraday portfolio analysis and optimization. Includes auto-calibrating model pipeline for market microstructure noise, risk factors, price jumps/outliers, tail risk (high-order moments) and price fractality (long memory). Constructed portfolios could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.
How to cite:
Andrey Kostin (2015). PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect. R package version 1.8, https://cran.r-project.org/web/packages/PortfolioEffectHFT. Accessed 23 Apr. 2025.
Previous versions and publish date:
1.2 (2015-09-29 17:33), 1.3 (2015-11-10 18:14), 1.4 (2015-12-18 06:43), 1.5 (2016-02-01 22:02), 1.6 (2016-07-17 16:21), 1.7 (2016-09-17 07:12), 1.8 (2017-03-24 20:54)
Other packages that cited PortfolioEffectHFT R package
View PortfolioEffectHFT citation profile
Other R packages that PortfolioEffectHFT depends, imports, suggests or enhances
Functions, R codes and Examples using the PortfolioEffectHFT R package
Some associated functions: aapl.data . alpha_exante . alpha_jensens . beta . calmar_ratio . compute . correlation . covariance . create_metric . cumulant . dist_density . down_capture_ratio . down_number_ratio . down_percentage_ratio . downside_variance . expected_downside_return . expected_return . expected_shortfall . expected_upside_return . forecast-class . forecast_apply . forecast_builder . forecast_input . fractal_dimension . gain_loss_variance_ratio . gain_variance . hurst_exponent . information_ratio . kurtosis . log_return . loss_variance . max_drawdown . metric-class . mod_sharpe_ratio . moment . omega_ratio . optimization_constraint . optimization_forecast . optimization_goal . optimization_info . optimization_run . optimizer-class . portfolio-class . portfolioPlot-class . portfolio_availableSymbols . portfolio_create . portfolio_defaultSettings . portfolio_getPosition . portfolio_getSettings . portfolio_settings . position-class . position_add . position_list . position_remove . price . profit . quantity . rachev_ratio . return_autocovariance . return_jump_size . set_quantity . sharpe_ratio . skewness . sortino_ratio . starr_ratio . treynor_ratio . txn_costs . up_capture_ratio . up_number_ratio . up_percentage_ratio . upside_downside_variance_ratio . upside_variance . util_POSIXTimeToDate . util_cleanCredentials . util_colorScheme . util_dateToPOSIXTime . util_fillScheme . util_getComputeTime . util_ggplot . util_line2d . util_multiplot . util_plot2d . util_plot2df . util_plotDensity . util_plotTheme . util_setCredentials . value . value_at_risk . variance . weight . weight_transform . 
Some associated R codes: forecast.R . message.R . metric.R . onLoad.R . optimization.R . plot.R . portfolio.R . position.R . util.R .  Full PortfolioEffectHFT package functions and examples
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