[R-SIG-Finance] possible bug in cdoTA

[Ulrich Staudinger]

Hi there,
i don't know if i am on the right list, but anyway :)
I am right now in the process of synchronizing my own code base (ccapi2 
/ http://www.activestocksde) with the code base of RMetrics' indicators. 
And i found this code in RMetrics:

 > cdoTA
function (x, lag1 = 12, lag2 = 26, lag3 = 9)
{
    cdo = macdTA(x, lag1, lag2) - cdsTA(x, lag3)
    if (is.timeSeries(x))
        colnames(cdo) <- "CDO"
    cdo
}
 >

and

 > cdsTA
function (x, lag1 = 12, lag2 = 26, lag3 = 9)
{
    cds = emaTA(macdTA(x, lag1, lag2), lag3)
    if (is.timeSeries(x))
        colnames(cds) <- "CDS"
    cds
}
 >

However, cdsTA in cdoTA is called with lag2=26 and lag3=9. I think these 
hardcoded values are wrong. I think the cdoTA code should rather be

 > cdoTA
function (x, lag1 = 12, lag2 = 26, lag3 = 9)
{
    cdo = macdTA(x, lag1, lag2) - cdsTA(x, lag1, lag2, lag3)
    if (is.timeSeries(x))
        colnames(cdo) <- "CDO"
    cdo
}
 >


Please correct me if i am wrong. I also don't know if this has been 
reported / discussed, yet.

Thanks,
Sincerely yours,
Ulrich Staudinger