Tags: jgehw/TTR
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SIGNIFICANT USER-VISIBLE CHANGES - Update DVI to use runPercentRank. Thanks to Ivan Popivanov for the patch. - getYahooData now returns an xts object with Date index (not POSIXct). - MA function colnames no longer based on input colnames. NEW FEATURES - Add HMA and ALMA functions/docs. Thanks to Ivan Popivanov. - Add Ultimate Oscillator function/docs/tests. Thanks to Ivan Popivanov. BUG FIXES - runFuns now throw error if there are not enough non-NA values. - Change all instances of lag() to lag.xts() in case 'x' is a matrix. Thanks to Ivan Popivanov for the report. - Correct output column names in ATR docs. - CLV now sets NaN and Inf values to 0, instead of only NaN values. - Fix OBV so OBV[t] = OBV[t-1] when Close[t] == Close[t-1]. - Fix dead links in documentation.
SIGNIFICANT USER-VISIBLE CHANGES - CCI now returns an object with colnames ("cci"). - All moving average functions now attempt to set colnames. - Added clarification on the displaced nature of DPO. - SAR now sets the initial gap based on the standard deviation of the high-low range instead of hard-coding it at 0.01. NEW FEATURES - Added rollSFM function that calculates alpha, beta, and R-squared for a single-factor model, thanks to James Toll for the prototype. - Added runPercentRank function, thanks to Charlie Friedemann. - Moved slowest portion of aroon() to C. - DonchianChannel gains an 'include.lag=FALSE' argument, which includes the current period's data in the calculation. Setting it to TRUE replicates the original calculation. Thanks to Garrett See and John Bollinger. - The Stochastic Oscillator and Williams' %R now return 0.5 (instead of NaN) when a securities' price doesn't change over a sufficient period. - All moving average functions gain '...'. - Users can now change alpha in Yang Zhang volatility calculation. BUG FIXES - Fixed MACD when maType is a list. Now mavg.slow=maType[[2]] and mavg.fast=maType[[1]], as users expected based on the order of the nFast and nSlow arguments. Thanks to Phani Nukala and Jonathan Roy. - Fixed bug in lags function, thanks to Michael Weylandt. - Corrected error in Yang Zhang volatility calculation, thanks to several people for identifying this error. - Correction to SAR extreme point calculations, thanks to Vamsi Galigutta. - adjRatios now ensures all inputs are univariate, thanks to Garrett See. - EMA and EVWMA now ensure n < number of non-NA values, thanks to Roger Bos. - Fix to BBands docs, thanks to Evelyn Mitchell.
BUG FIXES - Fixed stockSymbols for nasdaq.com changes (again), and attempted to make stockSymbols more robust to nasdaq.com changes. - Corrected final calculation in Yang-Zhang volatility, thanks to Shal Patel. - Corrected k in Yang-Zhang volatility, thanks to Ian Rayner. - Corrected s2o and s2c in Yang-Zhang volatility, thanks to Ian Rayner. - Corrected KST when input is xts (res is now * 100), thanks to Yuanwei. git-svn-id: svn+ssh://svn.r-forge.r-project.org/svnroot/ttr/pkg@122 edb9625f-4e0d-4859-8d74-9fd3b1da38cb
NEW FEATURES - Added variable moving average function, VMA. - Added Brian Peterson's price bands function, PBands. - Added David Varadi's DVI indicator, DVI. - Added wilder and ratio arguments to DEMA. Thanks to Matthew Fornari for the suggestion. BUG FIXES - Changed wilderSum to seed initial value with raw sum. This matches Wilder's original calculations. Thanks to Mahesh Bp for the report. - The BBands sd calculation now uses the population instead of sample statistic. This is consistent with Bollinger Band literature. Thanks to Jeff Ryan for the patch. - Fixed stockSymbols for nasdaq.com changes. - Fixed ZLEMA default ratio by changing it from 2/(n-1) to 2/(n+1). This makes it consistent with EMA. Thanks to Dirk Eddelbuettel. - Corrected close-to-close volatility. Thanks to James Toll for the report. - adjRatios failed (spectacularly) if there were missing close prices. Thanks to Garrett See for the report. git-svn-id: svn+ssh://svn.r-forge.r-project.org/svnroot/ttr/pkg@116 edb9625f-4e0d-4859-8d74-9fd3b1da38cb
NEW FEATURES - Added VWAP and VWMA, thanks to Brian Peterson. - Added v-factor generalization to DEMA, thanks to John Gavin. - Updated volatility() to handle univariate case of calc='close', thanks to Cedrick Johnson. - Moved EMA, SAR, and wilderSum from .Fortran to .Call and used xts:::naCheck in lieu of TTR's NA check mechanism. - RSI up/down momentum now faster with xts, thanks to Jeff Ryan. - If 'ratio' is specified in EMA but 'n' is missing, the traditional value of 'n' is approximated and returned as the first non-NA value. BUG FIXES - Fix to stoch() when maType is a list and 'n' is not set in the list's 3rd element, thanks to Wind Me. - Fixed fastK in stoch() when smooth != 1. - Fixed segfault caused by EMA when n < NROW(x), thanks to Douglas Hobbs. - test.EMA.wilder failed under R-devel, thanks to Prof Brian Ripley. git-svn-id: svn+ssh://svn.r-forge.r-project.org/svnroot/ttr/pkg@99 edb9625f-4e0d-4859-8d74-9fd3b1da38cb
NEW FEATURES - Updated CMO, DPO, DonchianChannel, RSI, and TDI to *explicitly* use xts internally. BUG FIXES - Fixed bug in WMA, EVWMA, ZLEMA, and GMMA; results were not being reclassed back to their original class. - Set colnames after cbind call in the following functions: ADX, aroon, ATR, BBands, DonchianChannel, EMV, KST, MACD, stoch, SMI, TDI, TRIX. - Fixed bug in VHF; missing abs() calculation in the denominator. Thanks to Jürgen Wurzer for the report! git-svn-id: svn+ssh://svn.r-forge.r-project.org/svnroot/ttr/pkg@88 edb9625f-4e0d-4859-8d74-9fd3b1da38cb
SIGNIFICANT USER-VISIBLE CHANGES - getYahooData() now returns an xts object. - Added colnames to output for ADX, EMV, and CLV (for xts). - momentum() in CMO() no longer sets na=100. - Replaced 'na' argument in momentum() and ROC() with 'na.pad'. - Moved maType argument default values from function formals to function body for the following functions: ADX, ATR, CCI, DPO, EMV, KST, MACD, RSI, TRIX, BBands, chaikinVolatility, stoch, SMI NEW FEATURES - All functions now use xts internally, adding support for all major time series classes. If try.xts() fails on the input object(s), they will be converted to a matrix and a matrix object will be returned. - Added 'bounded' arg to stoch() and SMI(), which includes the current period in the calculation. - Added the zig zag indicator: ZigZag(). - Added volatility estimators/indicators: volatility(), with the following calculations: Close-to-Close, Garman Klass, Parkinson, Rogers Satchell. - Added Money Flow Index: MFI(). - Added Donchian channel: DonchianChannel(). - Added 'multiple' argument to TDI(), allowing more user control. - Added naCheck() and implemented it in the moving average functions. BUG FIXES - Corrected NaN replacement in CLV(). - Corrected williamsAD(): AD=0 if C(t)=C(t-1). - Corrected runMedian() and runMAD(). The argument controlling which type of median to calculate for even-numbered samples wasn't being passed to the Fortran routine. - aroon() calculation starts at period n+1, instead of n. - Added NA to first element of closeLag of ATR(). - Corrected BBands() and CCI() for rowMeans use on xts objects. - Made changes to Rd files to pass R CMD check on R-devel (2.9.0). git-svn-id: svn+ssh://svn.r-forge.r-project.org/svnroot/ttr/pkg@84 edb9625f-4e0d-4859-8d74-9fd3b1da38cb
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