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

Worik worik.stanton at gmail.com
Wed Apr 6 00:16:42 CEST 2011

I am just pushing ahead and coding these.  Using some TTR stuff where 
applicable,  but only SMA has been so far (I have  not completed the 
task yet).  But I am grateful for that.  Thank you TTR.

>   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.

Me too!  I decided to interpret it as:

support & resistance: Long when P_t > max(P, t, t-n)

And for channel breakout:  Long when P_t > min(P, t-1, t-n) x (1+x)

And the rule is used when max(P, t-1, t-n) < min(P, t-1, t-n) x (1+n)
Subtle but it does make them different.

The Sullivan et. el. paper does have some serious shortcomings, not the 
least that there are insufficient references to proper descriptions of 
these rules, that I only notice as I implement them.  Such is life!
> 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. 
Channel Breakouts / Pivots?  Interesting.  Have you any where I can go 
to look for more information?

Thanks for your attention people.  This is fun!


If we amplify everything, we hear nothing.

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