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.
This tab lists available contracts and manages downloads from Quandl.
This tab displays main contracts features (volatility, correlation matrix, ERC weights,...).
This tab allows displaying individual contracts and strategies, with custom roll rules.
This tab allows backtesting and comparing multiple portfolios of contracts and strategies.
library(shiny)
runGitHub("shiny-futures", "martinv13")