TechnicalAnalysis          package:fTrading          R Documentation

_T_o_o_l_s _f_o_r _t_h_e _T_e_c_h_n_i_c_a_l _A_n_a_l_y_s_i_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions  for the technical
     analysis of stock markets.  The collection provides a set of the
     most  common technical indicators. 

     Utility Functions:

       'emaTA'           Exponential Moving Average,
       'biasTA'          Bias Indicator,
       'medpriceTA'      Medium Price Indicator,
       'typicalpriceTA'  Typical Price Indicator,
       'wcloseTA'        Weighted Close Indicator,
       'rocTA'           Rate of Change,
       'oscTA'           Oscillator Indicator.

     Oscillator Indicators:

       'momTA'   Momentum Indicator,
       'macdTA'  MACD Indicator,
       'cdsTA'   MACD Signal Line,
       'cdoTA'   MACD Oscillator,
       'vohlTA'  High/Low Volatility,
       'vorTA'   Volatility Ratio.

       'stochasticTA'  Stochastics Oscillator,
       'fpkTA'         Fast Percent K,
       'fpdTA'         Fast Percent D,
       'spdTA'         Slow Percent D,
       'apdTA'         Averaged Percent D,
       'wprTA'         William's Percent R,
       'rsiTA'         Relative Strength Index.

     S-Plus Like Moving Averages:

       'SMA'   Simple Moving Average,
       'EWMA'  Exponentially Weighted  Moving Average.

_U_s_a_g_e:

     emaTA(x, lambda, startup = 0)
     biasTA(x, lag)
     medpriceTA(high, low)
     typicalpriceTA(high, low, close)
     wcloseTA(high, low, close)
     rocTA(x, lag)
     oscTA(x, lag1 = 25, lag2 = 65)

     momTA(x, lag)
     macdTA(x, lag1, lag2)
     cdsTA(x, lag1 = 12, lag2 = 26, lag3 = 9)
     cdoTA(x, lag1 = 12, lag2 = 26, lag3 = 9)
     vohlTA(high, low)
     vorTA(high, low)

     stochasticTA(close, high, low, lag1 = 5, lag2 = 3, lag3 = 5, 
         type = c("fast", "slow")) 
     fpkTA(close, high, low, lag)
     fpdTA(close, high, low, lag1, lag2)
     spdTA(close, high, low, lag1, lag2, lag3)
     apdTA(close, high, low, lag1, lag2, lag3, lag4)
     wprTA(close, high, low, lag)
     rsiTA(close, lag)

     SMA(x, n = 5)
     EWMA(x, lambda, startup = 0)

_A_r_g_u_m_e_n_t_s:

lag, lag1, lag2, lag3, lag4: integer values, time lags. 

       n: [SMA] - 
           an integer value, time lag. 

  lambda: [emaTA][EWMA] - 
           a numeric value between zero and one giving the decay length
           of the exponential moving average. If an integer value
          greater  than one is given, lambda is used as a lag of "n"
          periods to  calculate the decay parameter.  

 startup: [emaTA][EWMA] - 
           an integer value, the startup position of the exponential
          moving average, by default 0. 

    type: [stochasticTA] - 
           a character string, either '"fast"' or "'"slow"'
          characterizing the type of the percent K and percent D
          indicator. By default 'type="fast"' 

x, high, low, close: a numeric vector of prices, either opening,
          closing, or high and low values. For 'ohlcPlot' a
          multivariate time series object of  class 'mts'. 

_V_a_l_u_e:

     '*TA' 
       The technical Indicators return the following numeric vectors
     (or matrix):

     'emaTA' returns the Exponential Moving Average, EMA 
      'biasTA' returns the EMA-Bias, 
      'medpriceTA' returns the Medium Price, 
      'typicalpriceTA' returns the Typical Price, 
      'wcloseTA' returns the Weighted Closing Price, 
      'rocTA' returns the Rate of Change Indicator, 
      'oscTA' returns the EMA Oscillator Indicator, 
      'momTA' returns the Momentum Oscillator, 

     'macdTA' returns the MACD Oscillator, 
      'cdsTA' returns the MACD Signal Line, 
      'cdo' returns the MACD Oscillator, 
      'vohlTA' returns the High/Low Volatility Oscillator, 
      'vorTA' returns Volatility Ratio Oscillator, 

     'stochasticTA' returns a 2-column matrix with percent K and D
     Indicator, 
      'fpkTA' returns the Fast Percent-K Stochastics Indicator, 
      'fpdTA' returns the Fast Percent-D Stochastics Indicator, 
      'spdTA' returns the Slow Percent-D Stochastics Indicator, 
      'apdTA' returns the Averaged Percent-D Stochastics Indicator, 
      'wprTA' returns the Williams Percent-R Stochastics Indicator, 
      'rsiTA' returns the Relative Strength Index Stochastics
     Indicator. 

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_E_x_a_m_p_l_e_s:

     ## data -
        # Load MSFT Data:
        x = as.timeSeries(data(msft.dat))
        colnames(x)
        x = x[, "Close"]
        head(x)
        
     ## emaTA -
        # Exponential Moving Average:
        y = emaTA(x, lambda = 9)   
        seriesPlot(x)
        lines(y, col = "red")

