investlabr

Research workflows for macro and cross-asset market analysis

investlabr is an R package for macro-financial and cross-asset research workflows.

It sits on top of data packages such as investdatar and provides reusable tools for:

preparing research-ready datasets
constructing macro and market factors
analyzing events and regimes
estimating sensitivities and exposures
running scenario and structural-break simulations
producing research-grade charts, dashboards, and briefing outputs

In simple terms:

investdatar gets and stores the data
strategyr turns strategy logic into executable actions
investlabr thinks with the data and communicates the idea

Package Boundary

investlabr is not a raw data collection package and not a trading execution package.

Its role is the layer between:

data availability
research interpretation
presentation-ready output

This package is being expanded from a narrower strategy-evaluation toolkit into a broader research workflow package. Some current functions still reflect the earlier scope and will be migrated into a clearer module structure over time.

investlabr is not the package that should decide live strategy actions. That role belongs more naturally to strategyr, where dynamic strategy logic and execution-oriented backtesting live. investlabr is the looser and more exploratory layer for visualizing market patterns, stress-testing ideas, and communicating investment thinking to a human audience.

In Scope

Research data preparation
Macro and cross-asset diagnostics
Event and regime analysis
Sensitivity and exposure analysis
Scenario and structural simulation
Visualization and briefing output

Examples of likely function families:

prep_*
factor_*
event_*
regime_*
sense_*
sim_*
viz_*
brief_*

Out of Scope

Raw data downloading, syncing, and source registry management
Agent memory, LLM orchestration, or workflow automation
Trade execution, broker integration, and stateful backtesting infrastructure
Portfolio accounting, holdings administration, and reconciliation

Those concerns belong in adjacent packages such as investdatar, dedicated orchestration wrappers, or trading-specific packages.

Relationship to `strategyr`

strategyr and investlabr are related, but they solve different problems.

strategyr is for timely investment decision-making
strategyr owns realistic, path-dependent, execution-oriented backtesting
strategyr should be able to support executable orders or action selection
investlabr is for exploratory research, brainstorming, visualization, and human-facing idea sharing
investlabr may keep lightweight or simplified backtesting when it helps explain a market pattern, but that is not its core identity

Relationship to `investdatar`

investdatar owns:

downloading
syncing
source metadata
local storage
source-specific parsing

investlabr owns:

preparation of analysis-ready research tables
factor and indicator construction
event and regime overlays
sensitivity estimation
simulation and scenario comparison
charting and briefing outputs

Current Status

The repository currently includes legacy functions centered on event evaluation, strategy performance review, portfolio analysis, and plotting. Those functions remain useful, but the package identity is now broader:

investlabr is an R package for reusable macro, rates, liquidity, and cross-asset research workflows, including factor construction, event/regime analysis, sensitivity estimation, scenario simulation, and research-grade visualization.

Installation

# install.packages("remotes")
remotes::install_github("OliverLDS/investlabr")

Requirements

R >= 4.1.0
Core imports: data.table, ggplot2, quadprog, Rcpp
Visualization helpers: ggrepel, patchwork, gridExtra, scales

Repository Docs

Package scope: PACKAGE_SCOPE.md
Package architecture: ARCHITECTURE.md
Release notes: NEWS.md
Gallery: inst/gallery/README.md
Local task nodes: scripts/README.md
Generated publishing output: output/README.md
Research artifact contract: PUBLISHING_CONTRACT.md

Current Module Layout

The codebase is now organized by module family:

prep-*: research data preparation scaffolds
factor-*: reusable factor and diagnostic builders
event-*: event-study style analytics
regime-*: regime definitions and comparisons scaffolds
sense-*: sensitivity and exposure scaffolds
sim-*: simulation and legacy backtesting helpers
viz-*: visualization and layout utilities
brief-*: briefing-oriented plots and summaries

Some current exported functions still use older eval_* and gen_* names. Those remain for compatibility while the package migrates toward the new module naming convention.

Visualization Styles

investlabr now includes a shared visualization style layer so charts can use a more professional and varied visual language without rewriting each plotting function.

Current named styles include:

research_note
macro_classic
terminal_risk
cross_asset_color
minimal_print
strategy_explain
presentation_bold
briefing_serif
institutional_blue
policy_memo
desk_monitor
client_slide
newswire_print

Current contexts include:

report
slide
dashboard

You can inspect or change the defaults with:

library(investlabr)

viz_style_get()
viz_style_set(style = "macro_classic", context = "slide")

Most plotting functions now accept style and context, for example:

gen_yield_curve_plot(curve_dt, style = "macro_classic", context = "slide")
gen_plot_event_tsline_cum_ret(evt, style = "presentation_bold", context = "report")
eval_strat_plot_tsline_eq(bt_res, style = "terminal_risk", context = "dashboard")

If INVESTLABR_CONFIG points to a YAML file with plot_compiler_name, viz_theme_apply() will append Compiled by: ... to plot captions by default. Higher-level wrappers such as gen_grid_of_plots_with_labels() and the patchwork-based market dashboard path also use the same compiler footer logic. You can suppress that per plot with show_compiler = FALSE.

If the compiler name contains special YAML characters such as @, :, #, or leading/trailing spaces, wrap the string in quotes.

plot_compiler_name: Oliver Zhou
plot_compiler_name: "@user_name"

Basic Usage

For larger real-data workflows and style/context showcases, see the gallery in inst/gallery/README.md. The README examples below stay relatively compact on purpose.

Event workflow

library(data.table)
library(investlabr)

DT <- data.table(
  datetime = seq.POSIXt(as.POSIXct("2024-01-01", tz = "UTC"), by = "day", length.out = 120),
  close = cumprod(1 + rnorm(120, mean = 0.001, sd = 0.01)),
  event_policy = as.integer(seq_len(120) %% 20 == 0)
)

evt <- eval_event_performance(DT, "event_policy", H = 1L:10L)
gen_plot_event_tsline_cum_ret(evt)

Event comparison workflow

library(data.table)
library(investlabr)

DT <- data.table(
  datetime = seq.POSIXt(as.POSIXct("2024-01-01", tz = "UTC"), by = "day", length.out = 150),
  close = cumprod(1 + rnorm(150, mean = 0.0005, sd = 0.01)),
  event_a = as.integer(seq_len(150) %% 25 == 0),
  event_b = as.integer(seq_len(150) %% 40 == 0)
)

evt_a <- eval_event_performance(DT, "event_a", H = 1L:15L)
evt_b <- eval_event_performance(DT, "event_b", H = 1L:15L)

gen_plot_comparing_events(
  evt_a, evt_b,
  first_event_label = "Event A",
  second_event_label = "Event B"
)

Yield-curve workflow

library(data.table)
library(investlabr)

yield_dt_list <- list(
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(5.1, 5.0)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(4.8, 4.7)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(4.5, 4.4)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(4.2, 4.1)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(4.0, 3.9)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.9, 3.8)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.8, 3.7)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.7, 3.6)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.6, 3.5)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.7, 3.6)),
  data.table(date = as.Date(c("2024-01-01", "2024-02-01")), value = c(3.8, 3.7))
)

curve_dt <- get_yield_data_DT(
  yield_dt_list,
  yield_dates = list(
    Now = as.Date("2024-02-01"),
    `One month ago` = as.Date("2024-01-01")
  )
)

gen_yield_curve_plot(curve_dt)

Exploratory backtesting workflow

This is the lightweight and communication-oriented backtesting layer that remains in investlabr. More realistic and execution-grade strategy logic should live in strategyr.

library(data.table)
library(investlabr)

DT <- data.table(
  datetime = seq.POSIXt(as.POSIXct("2024-01-01", tz = "UTC"), by = "day", length.out = 120),
  open = 100 + cumsum(rnorm(120, 0.1, 1)),
  close = 100 + cumsum(rnorm(120, 0.1, 1)),
  pos_demo = rep(c(0, 1, 1, 0, -1, -1), length.out = 120)
)

attr(DT, "inst_id") <- "DEMO-ASSET"
attr(DT$pos_demo, "strat_name") <- "demo_strategy"
attr(DT$pos_demo, "strat_par") <- list(window = 20)

bt_res <- eval_strat_performance(DT, "pos_demo")

eval_strat_plot_tsline_eq(bt_res)
eval_strat_plot_scatter_maxdd_annret(bt_res)

If you want multiple rows for the scatter plot, bind several backtest results first:

bt_res_list <- data.table::rbindlist(list(bt_res, bt_res))
eval_strat_plot_scatter_maxdd_annret(bt_res_list)

Portfolio mix workflow

library(data.table)
library(investlabr)

mk_bt_res <- function(asset_name, seed) {
  set.seed(seed)
  DT <- data.table(
    datetime = seq.POSIXt(as.POSIXct("2024-01-01", tz = "UTC"), by = "day", length.out = 120),
    open = 100 + cumsum(rnorm(120, 0.1, 1)),
    close = 100 + cumsum(rnorm(120, 0.1, 1)),
    pos_demo = rep(c(0, 1, 1, 0, -1, -1), length.out = 120)
  )
  attr(DT, "inst_id") <- asset_name
  attr(DT$pos_demo, "strat_name") <- "demo_strategy"
  attr(DT$pos_demo, "strat_par") <- list(window = 20)
  eval_strat_performance(DT, "pos_demo")
}

bt_a <- mk_bt_res("DEMO-ASSET-A", seed = 1)
bt_b <- mk_bt_res("DEMO-ASSET-B", seed = 2)
bt_res_list <- data.table::rbindlist(list(bt_a, bt_b), fill = TRUE)

# Keep the target feasible for the sample inputs.
target_return <- min(bt_res_list$annual_return) * 0.8

weight_res <- get_optimal_weights(bt_res_list, target_return = target_return)
port_res <- eval_portfolio_performance(bt_res_list, target_return = target_return)

weight_res$optimal_weights_table
eval_strat_plot_tsline_eq(port_res)

Market chart workflow

library(data.table)
library(investlabr)

set.seed(1)
n <- 40
datetime <- seq.POSIXt(as.POSIXct("2024-01-01", tz = "UTC"), by = "day", length.out = n)
open <- 100 + cumsum(rnorm(n, 0.1, 1))
close <- open + rnorm(n, 0, 1)
upper_wick <- abs(rnorm(n, 0.8, 0.3))
lower_wick <- abs(rnorm(n, 0.8, 0.3))

DT <- data.table(
  datetime = datetime,
  open = open,
  high = pmax(open, close) + upper_wick,
  low = pmin(open, close) - lower_wick,
  close = close
)

gen_candle_plots_with_sr_lines(
  DT,
  support_pts = c(95, 97.5),
  resistance_pts = c(108, 112)
)

Multi-panel layout workflow

library(data.table)
library(investlabr)

set.seed(1)
DT <- data.table(
  date = seq.Date(as.Date("2024-01-01"), by = "day", length.out = 150),
  close = 100 + cumsum(rnorm(150, 0.05, 1)),
  event_a = as.integer(seq_len(150) %% 25 == 0),
  event_b = as.integer(seq_len(150) %% 40 == 0)
)

p1 <- gen_plot_event_tsline_cum_ret(
  eval_event_performance(DT, "event_a", H = 1L:15L),
  show_compiler = FALSE
)
p2 <- gen_plot_event_tsline_cum_ret(
  eval_event_performance(DT, "event_b", H = 1L:15L),
  show_compiler = FALSE
)

gen_grid_of_plots_with_labels(
  plots = list(p1, p2),
  n_rows = 1,
  n_cols = 2,
  col_labs = c("Event A", "Event B"),
  title = "Event Comparison"
)

Multi-panel layout workflow with real data

This example uses investdatar and Yahoo Finance data to build a 2 by 2 cross-asset event board. Equity, bond, FX, and commodity each get one subplot, and the symbols within each asset class are overlaid with different colors. Each series is indexed to 100 on the last trading day on or before the event date so the post-event paths are directly comparable inside each panel.

library(data.table)
library(ggplot2)
library(investdatar)
library(investlabr)

event_date <- as.Date("2026-02-28")
event_label <- "Feb 28, 2026 (Iran War)"
from_date <- "2026-01-15"
to_date <- "2026-04-01"

groups <- list(
  Equity = c("^GSPC", "^STOXX50E", "^N225", "^HSI"),
  Bond = c("ZT=F", "HYG", "LQD"),
  FX = c("DX-Y.NYB", "EURUSD=X", "GBPUSD=X"),
  Commodity = c("GC=F", "HG=F", "CL=F")
)

all_symbols <- unlist(groups, use.names = FALSE)
invisible(lapply(
  all_symbols,
  function(sym) investdatar::sync_local_quantmod_OHLC(
    ticker = sym,
    label = sym,
    from = from_date,
    to = to_date,
    src = "yahoo"
  )
))

make_asset_panel <- function(symbols, panel_title) {
  dt_list <- lapply(symbols, function(symbol) {
    dt <- investdatar::get_local_quantmod_OHLC(symbol, src = "yahoo")
    dt <- data.table::as.data.table(dt)[date >= as.Date(from_date) & date <= as.Date(to_date)]
    event_ref_date <- max(dt$date[dt$date <= event_date])
    event_ref_close <- dt[date == event_ref_date, close][1]
    dt[, `:=`(
      symbol = symbol,
      event_ref_date = event_ref_date,
      index100 = close / event_ref_close * 100
    )]
    dt
  })

  panel_dt <- data.table::rbindlist(dt_list, fill = TRUE)
  subtitle_date <- panel_dt[, min(event_ref_date)]
  last_labels <- panel_dt[!is.na(index100), .SD[.N], by = symbol]

  p <- ggplot(panel_dt, aes(x = datetime, y = index100, color = symbol)) +
    geom_line(linewidth = 0.9) +
    geom_text(
      data = last_labels,
      aes(label = symbol),
      hjust = -0.1,
      vjust = 0.5,
      show.legend = FALSE,
      size = 3.2
    ) +
    labs(
      title = panel_title,
      subtitle = paste0("Indexed to 100 on ", format(subtitle_date, "%Y-%m-%d")),
      x = "",
      y = ""
    )

  p <- viz_theme_apply(
    p,
    style = "macro_classic",
    context = "report",
    legend_position = "bottom",
    show_compiler = FALSE
  )
  p <- viz_annotate_event_lines(
    p,
    data.table::data.table(datetime = as.POSIXct(event_date), label = event_label),
    x_col = "datetime",
    label_col = "label",
    style = "macro_classic",
    context = "report"
  )
  p
}

equity_plot <- make_asset_panel(groups$Equity, "Equity")
bond_plot <- make_asset_panel(groups$Bond, "Bond")
fx_plot <- make_asset_panel(groups$FX, "FX")
commodity_plot <- make_asset_panel(groups$Commodity, "Commodity")

gen_grid_of_plots_with_labels(
  plots = list(
    equity_plot, bond_plot,
    fx_plot, commodity_plot
  ),
  n_rows = 2,
  n_cols = 2,
  title = "Cross-Asset Performance After Feb 28, 2026",
  bottom = "Each series is indexed to 100 at the last trading date on or before the event date."
)

Working with `investdatar`

investlabr assumes data has already been retrieved or synchronized elsewhere. A typical workflow is:

# library(investdatar)
# library(investlabr)
#
# fred_local <- investdatar::get_local_FRED_data("DGS10")
# curve_inputs <- ...
# research_tbl <- investlabr::get_yield_data_DT(curve_inputs, yield_dates = ...)

End-To-End With `investdatar`

The example below shows the intended workflow boundary directly: investdatar reads the local FRED yield series, and investlabr converts those series into a research-ready yield-curve comparison chart.

library(investdatar)
library(investlabr)

series_ids <- c(
  "DGS1MO", "DGS3MO", "DGS6MO", "DGS1", "DGS2", "DGS3",
  "DGS5", "DGS7", "DGS10", "DGS20", "DGS30"
)

# Optional if you have not synced these series locally yet:
invisible(lapply(series_ids, investdatar::sync_local_fred_data))

yield_dt_list <- lapply(series_ids, investdatar::get_local_FRED_data)

curve_dt <- investlabr::get_yield_data_DT(
  yield_dt_list = yield_dt_list,
  yield_dates = list(
    Now = Sys.Date(),
    `One month ago` = Sys.Date() - 30,
    `One year ago` = Sys.Date() - 365
  )
)

investlabr::gen_yield_curve_plot(
  curve_dt,
  selected_windows = c("Now", "One month ago", "One year ago")
)

Yahoo Finance candles via `investdatar`

This example uses investdatar as the Yahoo Finance access layer and investlabr as the charting layer.

library(data.table)
library(investdatar)
library(investlabr)

investdatar::sync_local_quantmod_OHLC(
  ticker = "SPY",
  from = "2024-01-01",
  to = "2024-12-31",
  src = "yahoo"
)

spy_dt <- investdatar::get_local_quantmod_OHLC("SPY", src = "yahoo")

investlabr::gen_candle_plots_with_sr_lines(
  data.table::as.data.table(spy_dt)[1:60, .(datetime, open, high, low, close)],
  support_pts = c(500, 520),
  resistance_pts = c(560, 580)
)

These examples show the intended package boundary:

investdatar handles data syncing and local access
investlabr turns those series into reusable research objects and charts
strategyr is where dynamically adaptive, execution-grade strategy logic should live

Design Principles

Keep the package focused on research workflows, not data acquisition.
Prefer tidy, reusable transformation functions over one-off scripts.
Return objects that are easy to reuse: data.table, tidy tables, ggplot objects, or small named lists.
Separate data preparation, analytic logic, and visualization.
Avoid hard-coded file paths, agent objects, or personal local directories.
Make functions composable for dashboards and research notes.
Keep exploratory backtesting lightweight and communication-oriented; execution-grade strategy logic belongs in strategyr.

Testing

investlabr now includes a basic testthat setup for smoke coverage of package-level workflows.

# install.packages("testthat")
testthat::test_dir("tests/testthat")

License

mirror server hosted at Truenetwork, Russian Federation.