Standard Backtests for Technical Trading Rules in Financial Data


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Documentation for package ‘ttrTests’ version 1.5

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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
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)