TTR (version 0.2)

TTRtools: Miscellaneous Tools

Description

Various functions that may be useful in designing technical trading rules.

Usage

growth(price, signals, ...)
  lags(x, n=1)
  wilderSum(x, n=10)

Arguments

price

Price series that is coercible to xts or matrix.

signals

Signals to use (defaults to vector of ones). Use '0' for no position, '1' for long position, and '-1' for short position.

x

Object that is coercible to xts or matrix.

n

Number of periods to use.

...

Further arguments to be passed from or to other methods.

Value

• growth returns a vector of the growth of the investment.

  lags returns a matrix of lagged values of the original vector.

  wilderSum returns a vector of weighted sums.

Details

growth calculates the growth of an investment using given prices and signals.

lags calculates the lags of a given series.

wilderSum calculates a Welles Wilder style weighted sum.