TTR (version 0.2)

DPO: De-Trended Price Oscillator

Description

The Detrended Price Oscillator (DPO) removes the trend in prices - or other series - by subtracting a moving average of the price from the price.

Usage

DPO(x, n=10, maType, shift=n/2+1, percent=FALSE, ...)

Arguments

x

Price, volume, etc. series that is coercible to xts or matrix.

n

Number of periods for moving average.

maType

A function or a string naming the function to be called.

shift

The number of periods to shift the 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.

...

Other arguments to be passed to the maType function.

Value

• A object of the same class as x or a vector (if try.xts fails) containing the DPO values.

Details

The Detrended Price shows cycles and overbought / oversold conditions. Note the calculation shifts the results shift periods, so the last shift periods will be zero.

References

The following site(s) were used to code/document this indicator: http://www.fmlabs.com/reference/DPO.htm http://www.equis.com/Customer/Resources/TAAZ/?c=3&p=48

See Also

See EMA, SMA, etc. for moving average options; and note Warning section. See MACD for a general oscillator.

Examples

data(ttrc)
  priceDPO <- DPO(ttrc[,"Close"])
  volumeDPO <- DPO(ttrc[,"Volume"])