DonchianChannel {TTR} | R Documentation |
Donchian Channels were created by Richard Donchian and were used to generate buy and sell signals for the Turtle Trading system.
DonchianChannel(HL, n=10)
HL |
Object that is coercible to xts or matrix and contains High-Low prices. |
n |
Number of periods for moving average. |
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.
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. |
Josh Ulrich
The following site(s) were used to code/document this indicator:
http://www.linnsoft.com/tour/techind/donch.htm
See BBands
.
data(ttrc) dc <- DonchianChannel( ttrc[,c("High","Low")] )