OK, so Josh actually reviewed the paper rather than relying on hazy
recollection (my bad).
Based on this, you'd apply the relevant indicators for MA periods,
DonchianChannel, or OBV, es needed. Channel Break-outs are also often
called pivots. We have some code for this, and will endeavor to
document it and get it into TTR.
After any indicators are applied, as required, you'll then generate
signals as I described in my prior email.
Regards,
- Brian
On 03/29/2011 01:24 AM, Joshua Ulrich wrote:
Hi Worik,
There are 5 types of rules: filter rules, moving averages, support and
resistance, channel break-outs, and on-balance volume averages. TTR
contains what you need for moving averages, channel break-outs
(DonchianChannel) and on-balance volume (OBV).
I coded filter rules in another language a few years ago, so I could
help you write them in R. I don't understand how the support and
resistance rules differ from the channel break-outs, but that could be
due to the time of day and my lack of sleep. Regardless, I doubt they
would be difficult to code.
Best,
--
Joshua Ulrich | FOSS Trading: www.fosstrading.com
On Mon, Mar 28, 2011 at 4:33 PM, Worik<
[Apologies if I have sent this multiple times. I have been struggling
with
SMTP sewrvers and I have not seen my message appear on the list]
Friends
I am trying to save myself some tedious work.
I am processing a paper from "The Journal Of Finance * Vol. LIV, No. 5
October 1999" by Sullivan, Timmerman and White. "Data-Snooping,
Technical Trading Rule Performance, and the Bootstrap"
I am aiming to reproduce their results using the same TA rules as they
used.
They describe the rules they use in English and I am in the process of
trying to programme them into R. But if some one has already done this
it
would save me a pile of work.
It would be nice to just grab some rules from the TTR package, but
because
of the way STW describe the rules it is quite a lot of work to calculate
what parameters to use.
So I am clutching at a straw here: If anybody could point me in a
better
direction than slogging through the English text and trying to match
that
with the TTR docs I would be grateful
cheers
Worik
PS Here is an example of their text. Not that it is bad, just quite a
bit
of work....
A. Filter Rules
Filter rules are used in Alexander (1961) to assess the efficiency of
stock
price movements. Fama and Blume (1966) explain the standard filter rule:
An x per cent filter is defined as follows: If the daily closing price
of a
particular security moves up at least x per cent, buy and hold the se-
curity until its price moves down at least x per cent from a subsequent
high, at which time simultaneously sell and go short. The short position
is maintained until the daily closing price rises at least x per cent
above
a subsequent low at which time one covers and buys. Moves less than x
per cent in either direction are ignored. (p. 227)
The first item of consideration is how to define subsequent lows and
highs.
We will do this in two ways. As the above excerpt suggests, a subsequent
high is the highest closing price achieved while holding a particular
long
position. Likewise, a subsequent low is the lowest closing price
achieved
while holding a particular short position. Alternatively, a low (high)
can
be
defined as the most recent closing price that is less (greater) than the
e
previous closing prices. Next, we will expand the universe of filter
rules
by
allowing a neutral position to be imposed. This is accomplished by
liquidat-
ing a long position when the price decreases y percent from the previous
high, and covering a short position when the price increases y percent
from
the previous low. Following BLL, we also consider holding a given long
or
short position for a prespecified number of days, c, effectively
ignoring
all
other signals generated during that time.