Josh,

I doubt there's any advantage for users simply desiring to bootstrap, except
possibly that the inputs are more straightforward.  In fact
ttrTests::bootstrap is clearly at a disadvantage to boot::tsboot and
tseries::tsbootstrap, in terms of flexibility and functionality.

Making my own function to go in the package made managing inputs and outputs
easier, feeding outputs from one function into another and whatnot.  For
example, ttrTests::bootstrap does not allow variable length bootstrapped
series.  Other functions in ttrTests would throw an index error if the
bootstrapped samples didn't have the same length as the original.  Index
errors were like the bane of my existence during development...

In the future I suppose it makes sense to point people towards the
boot/tseries functions for resampling.  In terms of stock prices,
ttrTests::generateSample is a nice little wrapper, but even this might be
duplicated somewhere else in the R universe.

Cheers,
-David

On Tue, Apr 12, 2011 at 1:06 PM, Joshua Ulrich <josh.m.ulrich@gmail.com>wrote:

> Hi David,
>
> On Tue, Apr 12, 2011 at 11:38 AM, David St John <dstjohn@math.uic.edu>
> wrote:
> > Worik,
> >
> > See bootstrap() and generateSample() in the ttrTests package.  If you
> have a
> > real price series these functions create a randomly resampled series.
> > Bootstrapping using the 'block' method has many desirable statistical
> > properties, given minimal assumptions on the underlying process that
> > generated the original price data.
> >
> What's the benefit of using ttrTests::bootstrap versus boot::tsboot
> and tseries::tsbootstrap that come with R?
>
> > If you don't have a real price series you're trying to mimic, then you're
> on
> > your own picking a distribution and hoping that a sample from that
> > distribution resembles a stock price series!
> >
> > Best,
> > -David
> >
>
> Best,
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
>

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