ttrTests: Standard Backtests for Technical Trading Rules in Financial Data
Five core functions evaluate the efficacy of a technical
trading rule. - Conditional return statistics - Bootstrap
resampling statistics - Reality Check for data snooping bias
among parameter choices - Robustness, or Persistence, of
parameter choices - Parameter Domain Correlation Test
| Version: |
1.7 |
| Depends: |
fTrading, TTR |
| Published: |
2012-10-29 |
| Author: |
David St John |
| Maintainer: |
David St John <dstjohn at math.uic.edu> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| In views: |
Finance |
| CRAN checks: |
ttrTests results |
Downloads: