[R-SIG-Finance] TTR

[Josh Ulrich]

Marc,

We have discussed using ta-lib, which is a very fine library.  We
concluded it was too much overhead code for our purposes.  You can see
most of TTR is written in R, with a few 'grunt' functions written in
Fortran for speed.

Also, one main goal of TTR is flexibility.  For example, you can use
two different, non-standard moving averages in the RSI calculation.
We're not proficient in C/C++, so adapting such code for flexibility
is more difficult (for us) than writing in R, and we don't expect the
speeds gains from doing so to be terribly significant.

I'm not opposed to using open-source TA libraries, so long as they fit
with the overall plans for TTR.  Given our absence of C/C++ abilities,
someone else would have to volunteer to make the additions.

Best,
Josh
--
http://quantemplation.blogspot.com


On Jan 21, 2008 4:08 PM, Marc E Levitt <marcl at svquant.com> wrote:
> Josh (& Jeff):
>
> Thanks for making TTR available to the community. Your implementation of some functions in FORTRAN caught my eye and I was just wondering (or perhaps suggesting)  if you checked out wrapping ta-lib vs redoing this work? The site is www.ta-lib.org and it appears to be supported, debugged, and used by a good sized community.
>
> I understand that wrapping a library is less of a learning experience than writing R code - but now that FORTRAN has entered the picture perhaps we can unify some open source TA libraries?
>
> Regards,
> Marc
>
>
> ----- Original Message ----
>
>
> I second John's response.  The EMA function in package TTR uses a
> seeding value of
> ema[n] <- mean(x[1:n])
> and then begins using the exponential smoothing.  You can then compare
> the results of emaTA with EMA and see that the results converge after
> the run-in period.
>
> TTR contains another 30+ TA functions, many of which are chartable via
> the quantmod package.  It is being updated with new functions and
> Fortran implementations of existing functions.  TTR's development
> source code is here:
> https://r-forge.r-project.org/projects/ttr/
>
> HTH,
> Josh
>
> PS Sorry if this is my second reply.  I replied on Friday, but it
> didn't seem to make it to the list.
> --
> http://quantemplation.blogspot.com
>
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