https://github.com/martinv13/shiny-futures

A Shiny app to work with future contracts data
https://github.com/martinv13/shiny-futures

backtest finance futures portfolio quandl r shiny

Last synced: about 2 months ago
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A Shiny app to work with future contracts data

• Host: GitHub
• URL: https://github.com/martinv13/shiny-futures
• Owner: martinv13
• Created: 2016-11-08T09:31:05.000Z (about 8 years ago)
• Default Branch: master
• Last Pushed: 2017-04-14T17:56:23.000Z (over 7 years ago)
• Last Synced: 2024-08-13T07:12:54.069Z (5 months ago)
• Topics: backtest, finance, futures, portfolio, quandl, r, shiny
• Language: R
• Size: 2.06 MB
• Stars: 22
• Watchers: 7
• Forks: 10
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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• jimsghstars - martinv13/shiny-futures - A Shiny app to work with future contracts data (R)

README

        
# Shiny-Futures

A Shiny app to work with futures contracts data.

This project is under development.

The (soft) roadmap is to enable user:

 - fetching individual futures contracts data from Quandl;

 - compute and display roll strategies, analyse distributions, term structures and correlations;

 - backtest trading strategies and strategies portfolios;

 

Computing is mostly based on data.table / dplyr. Dygraphs is used for rendering. A Sqlite DB holds the data.

### Update data

This tab lists available contracts and manages downloads from Quandl.

[![Update tab](/screenshots/update-s.png)](https://raw.githubusercontent.com/martinv13/Shiny-Futures/master/screenshots/update.png)

### Overview

This tab displays main contracts features (volatility, correlation matrix, ERC weights,...).

[![Overview tab](/screenshots/overview-s.png)](https://raw.githubusercontent.com/martinv13/Shiny-Futures/master/screenshots/overview.png)

### Explore

This tab allows displaying individual contracts and strategies, with custom roll rules.

[![Explore tab](/screenshots/explore-s.png)](https://raw.githubusercontent.com/martinv13/Shiny-Futures/master/screenshots/explore.png)

### Backtest

This tab allows backtesting and comparing multiple portfolios of contracts and strategies.

[![Backtest tab](/screenshots/backtest-s.png)](https://raw.githubusercontent.com/martinv13/Shiny-Futures/master/screenshots/backtest.png)

### Give it a try

``` R

library(shiny)

runGitHub("shiny-futures", "martinv13")

```