TTR (version 0.13-1)

Oscillators: Oscillators

Description

The oscillators documented in this page compare a fast moving average (MA) of a series with a slow MA of the same series. The most popular price oscillator is probably the MACD, which was developed by Gerald Appel.

Usage

oscillator(x, ma.slow = list("EMA", n=20), ma.fast = list("EMA", n=10),
             ma.sig = list("EMA", n=10), percent = FALSE)
        MACD(x)

Arguments

x

Series to use; usually price, but can be volume, etc.

ma.slow

A list whose first component is a string containing the slow moving average function name; additional parameters may also be specified as named components.

ma.fast

Similar to ma.slow, but for the fast moving average.

ma.sig

Similar to ma.slow, but for the signal line moving average.

percent

logical; if TRUE, the percentage difference between the slow and fast moving averages is returned, otherwise the difference between the respective averages is returned.

Value

• The MACD function returns a matrix containing the columns:
• macd
  The MACD line.
• signal
  The MACD signal line (a moving average of the MACD).
• The oscillator function returns a matrix containing the columns:
• oscillator
  The price (volume, etc.) oscillator.
• signal
  The oscillator signal line (a moving average of the oscillator).

Details

The oscillator function either subtracts the short MA from the long MA, or finds the rate of change between the short MA and the long MA.

References

The following site(s) were used to code/document this indicator: http://www.fmlabs.com/reference/MACD.htm http://www.fmlabs.com/reference/PriceOscillator.htm http://www.fmlabs.com/reference/PriceOscillatorPct.htm http://stockcharts.com/education/IndicatorAnalysis/indic_MACD1.html http://stockcharts.com/education/IndicatorAnalysis/indic_priceOscillator.html

See Also

See EMA, SMA, etc. for moving average options; and note Warning section.

Examples

data(ttrc)

  macd <- MACD(ttrc[,"Close"])
  osc  <- oscillator( ttrc[,"Close"], ma.slow = list("EMA",n=26),
                      ma.fast = list("EMA",n=12), ma.sig = list("EMA", n=9) )

  # Should be TRUE
  identical(macd,osc)