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 ----- 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-tp4651656.html Sent from the R help mailing list archive at Nabble.com.
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.