[R-sig-finance] Question about Exponential Weighted Moving Average (EWMA) in rmetrics

[German G. Creamer]

Hi all,

I



I am trying to use the macd function. It is used with cdoTA which calls
macdTA and this calls emaTA. However arguments of emaTA do not match those
requested at macdTA.
I wonder if there is another function of emaTA or EWMA that can be used
with macd. A similar problem I found with the file funSeries.R.

Thanks

German Creamer

These are the function definitions at fSeries:

cdoTA <-
function (x, lag1, lag2, lag3)
{
    macdTA(x, lag1, lag2) - cdsTA(x, lag1, lag2, lag3)
}

> macdTA
function (x, lag1, lag2)
{
    emaTA(x, lag1) - emaTA(x, lag2)
}

Do not correspond to:

> emaTA
function (x, lambda, startup = 0)
{
    if (lambda >= 1)
        lambda = 2/(lambda + 1)
    if (startup == 0)
        startup = floor(2/lambda)
    if (lambda == 0) {
        xema = rep(mean(x), length(x))
    }
    if (lambda > 0) {
        xlam = x * lambda
        xlam[1] = mean(x[1:startup])
        xema = filter(xlam, filter = (1 - lambda), method = "rec")
    }
    xema
}