Standard Backtests for Technical Trading Rules in Financial Data


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Documentation for package ‘ttrTests’ version 1.7

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ttrTests-package A series of tests for the efficacy of a technical trading rule (TTR)
bootstrap Generates a Bootstrap Sample from Raw Data
cReturns Return series conditioned on a TTR
dataSnoop Two Tests for Data Snooping: RC and SPA
defaults Default parameters for a given TTR
deleteNA Cleans data that contains NA entries
generateSample Generates a Bootstrap Sample from Price Data
indicator The canonical position / indicator functions
macd4 MACD oscillator
nullModel Hypothesis test for efficacy of TTR
paramPersist Robustness, or Persistence, of Parameter Choices for TTR
paramStats Analyzes a domain of parameter choices to pick the best one
position Position Function
returnStats Conditional statistics for given data and TTR
spData Daily Close of SP Index
subperiods Computes the Correlation between Conditional Returns in Two Non-Overlapping Sub-Periods
ttrTests A series of tests for the efficacy of a technical trading rule (TTR)