braverock / braverock/quantstrat

Add Turtles Trading System to quantstrat demos

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#119 0 comments 1 reaction 1 assignee Claimed by @jaymon0703 View on GitHub
enhancement help wanted
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R
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Description

Josh Ulrich and Peter Carl wrote a Turtle demo script in blotter - https://github.com/braverock/blotter/blob/master/demo/turtles.R. This item is to get the system, which will possibly vary slightly to theirs, into quantstrat. This will simplify optimizing the system for different paramset combinations for the horizons, allow us to perform WFA, and assess performance using the range of backtest overfitting and signal analysis code available in quantstrat.

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