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TTR (version 0.21-1)

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.