changes {TTR}R Documentation

Rate of Change / Momentum

Description

Calculate the (rate of) change of a series over n periods.

Usage

  ROC(x, n=1, type=c("continuous", "discrete"), na.pad=TRUE)
  momentum(x, n=1, na.pad=TRUE)

Arguments

x Price, volume, etc. series that is coercible to xts or matrix.
n Number of periods to use.
type Compounding type; either "continuous" (the default) or "discrete".
na.pad Should periods prior to n be appended? Default is TRUE.

Details

The ROC indicator provides the percentage difference of a series over two observations, while the momentum indicator simply provides the difference.

Value

A object of the same class as x or a vector (if try.xts fails) containing the rate-of-change (or return) values for ROC or a vector containing the differenced price series for momentum.

Author(s)

Josh Ulrich

Examples

  data(ttrc)
  roc <- ROC(ttrc[,"Close"])
  mom <- momentum(ttrc[,"Close"])

[Package TTR version 0.2 Index]