| ttr.tools {TTR} | R Documentation |
Various functions that may be useful in designing technical trading rules.
growth(price, signals, ...) rollFUN(x, n, FUN, ...) lags(x, n = 1) wilderSum(x, n = 10)
price |
Price series to use. |
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 able to be coerced to a matrix. |
n |
Number of periods to use. |
FUN |
Function to calculate over rolling subsets of data. |
... |
Further arguments to be passed from or to other methods. |
growth calculates the growth of an investment using given prices and signals.
rollFUN allows the calculation of rolling functions.
lags calculates the lags of a given series.
wilderSum calculates a Welles Wilder style weighted sum.
growth returns a vector of the growth of the investment.
rollFUN returns a vector of function results for the rolling subsets of data.
lags returns a matrix of lagged values of the original vector.
wilderSum returns a vector of weighted sums.
In growth you can specify the number of periods and type of compounding
to use when calculating returns of the price series via the ‘...’ argument.
Josh Ulrich