subperiods {ttrTests}R Documentation

Computes the Correlation between Conditional Returns in Two Non-Overlapping Sub-Periods

Description

This function computes the conditional returns for each parameterization of a given TTR in a given domain for each of subperiod in a given data set. The correlation is then computed between the results in each pair of sub-periods. This is a measure of the persistence, or robustness, of the parameter choices for a given TTR.

Usage

subperiods(x, ttr = "macd4", start = 0, nSteps = 0, stepSize = 0, 
restrict = FALSE, burn = 0, short = FALSE, condition = NULL, silent = TRUE, TC = 0.001, loud = TRUE, 
plot = TRUE, alpha = 0.05, periods = 0, file = "", latex = "", benchmark = "hold")

Arguments

x A univariate series
ttr The TTR to be used. Can be a character string for built-in TTRs, or a user defined function whose output is a position series s(t). See 'defaults' for a list of built-in TTRs.
start Initial values for parameters
nSteps How many parameter choices to use for each parameter
stepSize The difference between successive choices of a parameter.
restrict If restricted = TRUE, this will force the second parameter (and 4th, if applicable) to be strictly greater than the first (3rd, resp.) This is sensible if the pairs are moving average parameters.
burn When computing the position function s(t), values for t < burn will be forced to 0, i.e. no position held during the 'burn' period
short Logical. If false the position function s(t) will be forced to 0 when it would otherwise be -1, i.e. no short selling
condition An extra opportunity to restrict the TTR so that position is forced to 0 under some condition. Must be a binary string of the same length as the data 'x'. See 'position' for more details.
silent Logical. If TRUE, supresses output from subroutines
TC Percentage used to compute returns adjusted for trading costs.
loud Logical. If FALSE, supresses output from the main function(s).
plot Logical. If FALSE, supresses plot of results by parameter choice.
alpha Confidence level for 2-sided hypothesis testing
periods How many subperiods into which the function will divide the data.
file The full writable path string for a file to which output will be appended. Ideal for reviewing results.
latex Full path name for a writable file. The laTeX code that generates a figure with a summary of the output will be appended to file.
benchmark When computing 'excess' returns, all functions in this package subtract the conditional returns based on a given "ttr" from the "benchmark" returns. Two different TTRs can be compared this way if desired.

Details

This function will only allow a list of parameters with length at most 4. If a TTR requires more than 4 parameters, it is not supported here (yet).

If a TTR uses 3 or 4 parameters, it may be 'restricted'. In this case it is assumed that the first 2 parameters are related, and forces the second parameter to be strictly greater than the first. The 3rd and 4th parameters are treated similarly. Built in TTRs 'macd' and 'macd4' are restricted. Users may wish to 'restrict' user defined TTR, if appropriate.

Example: (4 parameters) start = c(2,4,3,6) nSteps = c(3,5,1,2) stepSize = c(4,5,2,3)

The values of the first parameter would be (2,6,10) The values of the second parameter would be (4,9,14,19,24) PLUS THE FIRST!!! The values of the third parameter would be (3) The values of the fourth parameter would be (6,9) PLUS THE THIRD!!!

So there would be 30 parameterizations in this domain. They would be: (2,6,3,6) , (2,11,3,6) , ... (notice the second parameter is NOT 4,9,...) (6,10,3,6) , (6,15,3,6) , ... (it is forced to be strictly greater) (10,14,3,6) , (10,19,3,6) , ... (by adding the first parameter)

If restrict = FALSE, no such adjustment will be made to the choice of domain for parameters.

Value

Output is a list containing: The observed covariance The observed correlation coefficient The raw ordered pair data used to measure these

Note

EXTREMELY IMPORTANT NOTE: The functions in this package evaluate past performance only. No warranty is made that the results of these tests should, or even can, be used to inform business decisions or make predictions of future events.

The author does not make any claim that any results will predict future performance. No such prediction is made, directly or implied, by the outputs of these function, and any attempt to use these function for such prediction is done solely at the risk of the end user.

Author(s)

David St John

References

Ryan Sullivan, Allan Timmermann, and Halbert White. Data snooping, technical trading rule performance, and the bootstrap. The Journal of Finance, 54(5):1647-1691, 1999.

Examples


spData <- as.vector(getYahooData("SPY",start="20060101",end="20081231")[,"Close"])
sp <- subperiods(spData)

sp[[1]]
sp[[2]]


[Package ttrTests version 1.4 Index]