[Blotter-commits] r341 - in pkg/quantstrat: data man

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2010-06-15 19:23:04 +0200 (Tue, 15 Jun 2010)
New Revision: 341

Added:
   pkg/quantstrat/data/stratFaber.rda
   pkg/quantstrat/man/stratFaber.Rd
Log:
- add stratFaber data object and documentation

Added: pkg/quantstrat/data/stratFaber.rda
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+\name{stratFaber}
+\docType{data}
+\alias{stratFaber}
+\alias{Faber}
+\title{Faber market timing strategy}
+\description{
+    The \cite{Faber(2007)} article proposes a very simple quantitative market-timing model.  They 
+    test the model in sample on the US stock market since 1900 before testing
+    it out-of-sample in twenty other markets.
+}
+\details{    
+    The \cite{Faber(2007)} article discusses a 200-day simple moving average, which is proposed
+    in Jeremy Seigel's book "Stocks for the Long Run" \cite{(1994)} for timing the DJIA.  He 
+    concludes that a simple market timing strategy improves the absolute and
+    risk adjusted returns over a buy-and-hold strategy.  After all transaction
+    costs are included, the timing strategy falls short on the absolute return,
+    but still provides a better risk-adjusted return.  Siegel also tests timing on  
+    the Nasdaq composite since 1972 and finds better absolute and risk adjusted
+    returns.
+    
+    The article implements a simpler version of the 200-day SMA, opting for a
+    10-month SMA.  Monthly data is more easily available for long periods of time,
+    and the lower granularity should translate to lower transaction costs.  
+    
+    The rules of the system are relatively simple:
+    \enumerate{
+        \item Buy when monthly price > 10-month SMA
+        
+        \item Sell and move to cash when monthly price < 10-month SMA
+    
+        \item All entry and exit prices are on the day of the signal at the close.
+    
+        \item All data series are total return series including dividends, updated monthly. 
+        For the purposes of this demo, we only use price returns.
+    
+        \item Cash returns are estimated with 90-day commercial paper.  Margin rates for
+        leveraged models are estimated with the broker call rate.  Again, for the
+        purposes of this demo strategy, we ignore interest and leverage (though these can be modeled in the framework).
+    
+        \item commissions, and slippage are excluded (though they can be modeled in the framework).
+        
+        \item taxes are excluded.
+    
+    }
+        
+    This simple strategy is different from well-known trend-following systems in
+    three respects.  First, there's no shorting.  Positions are converted to cash on
+    a 'sell' signal, rather than taking a short position. Second, the entire position
+    is put on at trade inception.  No assumptions are made about increasing position
+    size as the trend progresses.  Third, there are no stops.  If the trend reverts
+    quickly, this system will wait for a sell signal before selling the position.
+
+}
+\section{Indicators}{
+    This strategy uses only a single indicator, comprised of the TTR function \code{SMA}.
+    Parameters for this indicator include only the number of MA periods.
+}
+\section{Signals}{
+    The Faber strategy depends on two crossover events (signals) around the SMA.
+    \describe{
+        \item{Cl.gt.SMA}{type \code{\link{sigCrossover}}, if the Close price is greater than the SMA value.}
+        \item{Cl.lt.SMA}{type \code{\link{sigCrossover}}, if the Close price is less than the SMA value.}        
+    }
+}
+\section{Rules}{
+    In this strategy, each signal has a corresponding entry or exit rule.  
+    \describe{
+        \item{enter}{type \code{\link{ruleSignal}}, enter a buy order at market when the price crosses above the SMA using the \code{Cl.gt.SMA} signal.}
+       
+        \item{exit}{type \code{\link{ruleSignal}}, enter a sell order at market when the price crosses below the SMA using the \code{Cl.lt.SMA} signal.}
+    }
+}
+\section{Notes}{
+    This strategy may be improved in practice by: 
+    \itemize{
+        \item utilizing trailing entry or exit orders
+        
+        \item using a different smoothing mechanism other than SMA
+        
+        \item the addition of stop-loss rules
+        
+        \item the addition of some other indicator of value
+    }
+}
+\usage{data('stratFaber')}
+\references{
+    Faber, Mebane T., "A Quantitative Approach to Tactical Asset Allocation." 
+    Journal of Risk Management (Spring 2007).
+    
+    Siegel, Jeremy J. Stocks for the Long Run : 
+    The Definitive Guide to Financial Market Returns and Long-Term 
+    Investment Strategies (4th ed.). 436 pp. McGraw-Hill. 2007. ISBN 9780071494700. (earlier editions 1994, 1998, 2002)
+}
+\keyword{datasets}
+\keyword{ ts } 
\ No newline at end of file