[R] Newbie question: ROC function in TTR package

Joshua Ulrich josh.m.ulrich at gmail.com
Mon Nov 17 03:26:58 CET 2014

On Nov 16, 2014 8:10 PM, "Ernie Stokely" <wizardchef at gmail.com> wrote:
> One of the great frustrations for a newbie to R is the documentation uses
the same syntax in its description as the items it is trying to describe, a
general no-no when giving language definitions. Why does the documentation
not include the equation being represented by the function, thereby
clarifying what the function is doing??
A great frustration for those who took time to attempt to provide useful
documentation is when people criticize it instead of providing patches to
improve it.  The documentation is often written by the authors of the code
and it's extremely difficult to view it through the eyes of a neophyte when
it's something you know so intimately.

> That gripe aside, can anyone explain to me what the rate of change (ROC)
function in the TTR package is doing? I have run it on a set of returns and
I cannot reverse engineer what it is calculating. Also, what is the
difference between the discrete and the continuous types?? Thanks.
It's calculating log first differences, or continuously compounded returns.
The discrete type is p(t)/p(t-1)-1.  You also have the source code and
could have referenced it in your attempt to reverse engineer the

> wizardchef
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