[R] Sullivan, Timmerman and White 1999: TA rules, and R

rahul143 rk204885 at gmail.com
Sun Dec 2 17:29:25 CET 2012


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 



-----
TO GET MORE DETAILS CLICK HERE  
--
View this message in context: http://r.789695.n4.nabble.com/Sullivan-Timmerman-and-White-1999-TA-rules-and-R-tp4651658.html
Sent from the R help mailing list archive at Nabble.com.




More information about the R-help mailing list