chaikinVolatility {TTR}R Documentation

Chaikin Volatility

Description

Chaikin Volatility measures the rate of change of the security's trading range. Developed by Marc Chaikin.

Usage

  chaikinVolatility(HL, ma = list("EMA", n=10))

Arguments

HL Object able to be coerced to a matrix, which contains High-Low prices.
ma A list whose first component is a string containing the moving average function name; additional parameters may also be specified as named components.

Details

The Chaikin Volatility indicator defines volatility as an increase in the difference between the high and low.

Value

A vector containing the Chaikin Volatility values.

Note

A rapid increase in Chaikin Volatility indicates an approaching bottom. A slow decrease in Chaikin Volatility indicates an approaching top.

Author(s)

Josh Ulrich

References

The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/ChaikinVolatility.htm
http://www.equis.com/Customer/Resources/TAAZ/Default.aspx?c=3&p=120

See Also

See EMA, SMA, etc. for moving average options; and note Warning section. See TR for another volatility measure.

Examples

  data(ttrc)
  volatility <- chaikinVolatility(ttrc[,c("High","Low")])

[Package TTR version 0.13-1 Index]