indicator {ttrTests}R Documentation

The canonical position / indicator functions

Description

Computes the "position" function corresponding to a given univariate series and TTR. Position is 1 for long, -1 for short, and 0 for neutral. The indicator function is just the difference of the position from one period to the next, i.e. 1 for buy one unit, -2 for sell 2 units, etc.

Usage

indicator(x, ttr = "macd4", params = 0, burn = 0, short = FALSE,
condition = NULL)

Arguments

x The data set
ttr The TTR to be used. Can be a character string for built-in TTRs, or a user defined function whose output is a position series s(t). See 'defaults' for a list of built-in TTRs.
params Used to compute the TTR. Will be passed to a user defined function. Hence a user defined function should have at least 2 inputs, the data set and a vector or list of parameters
burn When computing the position function s(t), values for t < burn will be forced to 0, i.e. no position held during the 'burn' period
short Logical. If false the position function s(t) will be forced to 0 when it would otherwise be -1, i.e. no short selling
condition An extra opportunity to restrict the TTR so that position is forced to 0 under some condition. Must be a binary string of the same length as the data 'x'. See 'position' for more details.

Value

Output is a list contatining the position and indicator (resp.)

Author(s)

David St John

References

William Brock, Josef Lakonishok, and Blake LeBaron. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47(5):1731-1764, 1992.

Examples

## How many days does the TTR 'macd4' indicate a long position?
## How many trades are indicated?

spData <- as.vector(getYahooData("SPY",start="20060101",end="20081231")[,"Close"])
position <- indicator(spData,short=FALSE)

length(spData)
sum(position[[1]])
sum(abs(position[[2]]))


[Package ttrTests version 1.4 Index]