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

Brian G. Peterson brian at braverock.com
Tue Nov 20 15:58:24 CET 2012

support and resistance been in TTR function 'pivots' since svn r122 on 
2012-03-31, I wrote them and Josh checked them in.

On 11/20/2012 08:48 AM, radek wrote:
> Hi Brian,
> Apologies for necromancing such an old topic but I was wondering if this
> work has been added in the end to the TTR (or perhaps some other package)? I
> am facing a similar issue and would like to calculate when the volume is
> (pivoting) breaking the channel.
> Thanks,
> Radek
> braverock wrote
>> 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<
>> worik.stanton@
>> >  wrote:
>>>> [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.
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