TTR (version 0.2)

DonchianChannel: 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.

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.

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.

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")] )