DonchianChannel {TTR}R Documentation

Donchian Channel

Description

Donchian Channels were created by Richard Donchian and were used to generate buy and sell signals for the Turtle Trading system.

Usage

  DonchianChannel(HL, n=10)

Arguments

HL Object that is coercible to xts or matrix and contains High-Low prices.
n Number of periods for moving average.

Details

Donchian Channels consist of two (sometimes three) lines:

The top line is the highest high of the past n periods. The bottom line is the lowest low of the past n periods. The middle line is the average of the top and bottom lines.

Value

A object of the same class as HL or a matrix (if try.xts fails) containing the columns:

high The highest high series.
mid The average of high and low.
low The lowest low series.

Author(s)

Josh Ulrich

References

The following site(s) were used to code/document this indicator:
http://www.linnsoft.com/tour/techind/donch.htm

See Also

See BBands.

Examples

  data(ttrc)
  dc <- DonchianChannel( ttrc[,c("High","Low")] )

[Package TTR version 0.2 Index]