Julian Busch
Zurich
Switzerland

jb@quants.ch
+41 (0)79 201 11 74

Projects

  • R-Package: Strategy
    This package allows users to apply customizable quantitative trading strategies to historical portfolio data. An S4 class called "Strategy" is implemented that creates objects from which various performance measurements may be extracted, visualized and compared. A template for custom quantitative strategies is available and so the package can be extended in an easy way and still all methods are available for consistent evaluations.
    Remarks: A fully documented version with vignettes will be available soon.
    Please use the following code to download the package:
  • R-Package: MVOU
    This package contains functions and methods to fit mean-reverting multivariate Ornstein-Uhlenbeck processes. An S3 class called "MVOU" is implemented that creates fittes objects from which forecasts, various plots and backtests with open and closed loop frameworks can be obtained. A two-period optimization for maximum Sharpe portfolio weights is implemented and can be used in combination with the Strategy-package.
    Remarks: A fully documented version with vignettes will be available soon.
    Please use the following code to download the package: