chaikinVolatility {TTR} | R Documentation |
Chaikin Volatility measures the rate of change of the security's trading range. Developed by Marc Chaikin.
chaikinVolatility(HL, n=10, maType="EMA", ...)
HL |
Object able to be coerced to a matrix, which contains High-Low prices. |
n |
Number of periods for moving average. |
maType |
A function or a string naming the function to be called. |
... |
Other arguments to be passed to the maType function. |
The Chaikin Volatility indicator defines volatility as an increase in the difference between the high and low.
A vector containing the Chaikin Volatility values.
A rapid increase in Chaikin Volatility indicates an approaching bottom. A slow decrease in Chaikin Volatility indicates an approaching top.
Josh Ulrich
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 EMA
, SMA
, etc. for moving average options; and note
Warning section. See TR
for another volatility measure.
data(ttrc) volatility <- chaikinVolatility(ttrc[,c("High","Low")])