Package: investlabr 0.0.6.2

investlabr: Research Workflows for Macro and Cross-Asset Analysis

Reusable research workflows for macro-financial and cross-asset analysis. The package sits on top of data packages such as 'investdatar' and focuses on transforming existing market and macro data into analysis-ready research tables, factor and indicator constructions, event and regime overlays, sensitivity estimates, scenario comparisons, and research-grade visualization outputs. Portfolio risk-return comparisons use the mean-variance framework of Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>. Research-side volatility simulations include the generalized autoregressive conditional heteroskedasticity model of Bollerslev (1986) <doi:10.1016/0304-4076(86)90063-1>.

Authors:Oliver Zhou [aut, cre]

investlabr_0.0.6.2.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
investlabr/json (API)

# Install 'investlabr' in R:
install.packages('investlabr', repos = c('https://oliverlds.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/oliverlds/investlabr/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

cpp

3.81 score 49 exports 25 dependencies

Last updated from:e9a4baea53. Checks:15 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK109
linux-devel-x86_64OK132
source / vignettesOK192
linux-release-arm64OK147
linux-release-x86_64OK128
macos-release-arm64OK126
macos-release-x86_64OK367
macos-oldrel-arm64OK118
macos-oldrel-x86_64OK320
windows-devel-arm64OK210
windows-devel-x86_64OK168
windows-release-arm64OK202
windows-release-x86_64OK129
windows-oldrel-x86_64OK109
wasm-releaseOK91

Exports:brief_data_as_ofbrief_plot_registry_entrybrief_plot_registry_entry_v3brief_plot_registry_validatebrief_plot_registry_writebrief_plot_registry_write_from_metabrief_score_labeleval_event_performanceeval_portfolio_performanceeval_strat_performanceeval_strat_plot_scatter_maxdd_annreteval_strat_plot_tsline_eqfactor_bounded_scoregen_candle_plots_with_sr_dtsgen_candle_plots_with_sr_linesgen_facet_plot_from_multicol_tsgen_grid_of_plots_with_labelsgen_plot_comparing_eventsgen_plot_event_tsline_cum_retgen_rolling_monthly_statsgen_yield_curve_plotgen_yield_curve_plot_gridget_optimal_weightsget_yield_data_DTprep_backtest_result_from_equityprep_fill_forwardprep_ratio_ohlcprep_recent_changesprep_series_wideprep_zscoresim_ar1_dgpsim_ar2_dgpsim_ar3_dgpsim_arch1_dgpsim_forward_fansim_garch11_dgpsim_ma1_dgpsim_scenario_pathviz_annotate_event_linesviz_annotate_last_valueviz_annotate_regime_bandsviz_annotate_source_captionviz_candle_baseviz_forward_fanviz_palette_getviz_series_linesviz_style_getviz_style_setviz_theme_apply

Dependencies:clicpp11data.tablefarverggplot2ggrepelgluegridExtragtableisobandjsonlitelabelinglifecyclepatchworkquadprogR6RColorBrewerRcpprlangS7scalesvctrsviridisLitewithryaml

Readme and manuals

Help Manual

Help pageTopics
Calculate a conservative artifact data datebrief_data_as_of
Build a deprecated schema 2.0 research-artifact registry entrybrief_plot_registry_entry
Build one canonical schema 3.0 research-artifact registry entrybrief_plot_registry_entry_v3
Validate a research-artifact plot registrybrief_plot_registry_validate
Write a research-artifact plot registry to JSONbrief_plot_registry_write
Build and write a research-artifact registry from metadata sidecarsbrief_plot_registry_write_from_meta
Format the latest bounded research scorebrief_score_label
Evaluate event performanceeval_event_performance
Evaluate optimized portfolio performanceeval_portfolio_performance
Evaluate strategy performanceeval_strat_performance
Scatter: annual return vs max drawdowneval_strat_plot_scatter_maxdd_annret
Plot equity curve (time series)eval_strat_plot_tsline_eq
Map standardized pressure into a bounded research scorefactor_bounded_score
Generate candlestick plot with support and resistance zonesgen_candle_plots_with_sr_dts
Generate candlestick plot with support and resistance linesgen_candle_plots_with_sr_lines
Plot multiple time-series columns as facetsgen_facet_plot_from_multicol_ts
Arrange plots in a labeled grid layoutgen_grid_of_plots_with_labels
Compare two event-study average pathsgen_plot_comparing_events
Plot cumulative event-study return pathsgen_plot_event_tsline_cum_ret
Generate rolling monthly strategy statisticsgen_rolling_monthly_stats
Generate U.S. Treasury yield curve plotgen_yield_curve_plot
Generate yield curve comparison gridgen_yield_curve_plot_grid
Compute optimal strategy weightsget_optimal_weights
Get yield data for given datesget_yield_data_DT
Build A Backtest Result Row From An Equity Curveprep_backtest_result_from_equity
Carry the latest observed value forwardprep_fill_forward
Build Synthetic OHLC For A Price Ratioprep_ratio_ohlc
Extract recent finite first differencesprep_recent_changes
Combine labeled time series into a research-ready wide tableprep_series_wide
Standardize a numeric seriesprep_zscore
Simulate an AR(1) data-generating processsim_ar1_dgp
Simulate an AR(2) data-generating processsim_ar2_dgp
Simulate an AR(3) data-generating processsim_ar3_dgp
Simulate an ARCH(1) data-generating processsim_arch1_dgp
Simulate a forward percentile fan from historical changessim_forward_fan
Simulate a GARCH(1,1) data-generating processsim_garch11_dgp
Simulate an MA(1) data-generating processsim_ma1_dgp
Construct deterministic scenario pathssim_scenario_path
Add event-line annotations to a plotviz_annotate_event_lines
Add a direct label for the last observation in a seriesviz_annotate_last_value
Add regime-band annotations to a plotviz_annotate_regime_bands
Append a standardized source caption to a plotviz_annotate_source_caption
Generate a base candlestick plotviz_candle_base
Plot a forward percentile fanviz_forward_fan
Get visualization palette valuesviz_palette_get
Plot one or more research seriesviz_series_lines
Get resolved visualization styleviz_style_get
Set default visualization style and contextviz_style_set
Apply a standardized investlabr plot themeviz_theme_apply