TTRtools {TTR}R Documentation

Miscellaneous Tools

Description

Various functions that may be useful in designing technical trading rules.

Usage

  growth(price, signals, ...)
  lags(x, n=1)
  wilderSum(x, n=10)

Arguments

price Price series to use.
signals Signals to use (defaults to vector of ones). Use '0' for no position, '1' for long position, and '-1' for short position.
x Object able to be coerced to a matrix.
n Number of periods to use.
... Further arguments to be passed from or to other methods.

Details

growth calculates the growth of an investment using given prices and signals.

lags calculates the lags of a given series.

wilderSum calculates a Welles Wilder style weighted sum.

Value

growth returns a vector of the growth of the investment.
lags returns a matrix of lagged values of the original vector.
wilderSum returns a vector of weighted sums.

Note

In growth you can specify the number of periods and type of compounding to use when calculating returns of the price series via the '...' argument.

Author(s)

Josh Ulrich


[Package TTR version 0.14-0 Index]