[R-SIG-Finance] Donchian Channel in TTR

[BBands]

Donchian channels are a sort of special case in which the channel
values should not include the current period. if I were to code this,
today's value would reflect the n-1 prior highs and lows. The reason
is that is that when the current high and low are used there can never
be a breakout. These channels are used almost exclusively for
breakouts and traders look to the prior period's values to determine
whether a breakout has occurred. I fully understand Jeff's concerns
and would be ok with a note in the docs advising the use of lag(), but
I would code it with the lag as the default.

Best,

John Bollinger

On Thu, Apr 5, 2012 at 7:45 AM, Jeffrey Ryan <jeff.a.ryan at gmail.com> wrote:
> As I think I am partly responsible for this code in TTR (at least the
> initial rev), I'll explain my logic.
>
> In general, more options/arguments that simply do what single functions
> can do more explicitly isn't the best design strategy in many cases.
> Secondly, most (all?) of the other functions in TTR behave by including
> the 'current' price in the calculation.  In the case of DonchianChannel
> the result of this is simply more obvious.
>
> e.g. EMA, SMA, Bbands, runMax, cumsum (base R), cummin (base R), etc also
> behave this way.
>
> The fix, without any code changes in the related TTR functions is to use
> the facility lag().  This is the canonical way to assure you aren't
> introducing look-ahead bias in your results.
>
> For what it is worth, this had been recently discussed in private.  Josh
> may have a slightly different opinion, and I think the consensus was that
> the documentation could be more explicit, but the behavior is consistent
> with R and TTR as is.