[R-SIG-Finance] Market stats data sources

Brian G. Peterson brian at braverock.com
Tue Jul 8 14:15:04 CEST 2008

Dan Avery wrote:
> I'm interested in finding historical data on market stats - new highs, new lows, advances,declines, unchanged, advancing volume, declining volume and unchanged for the NYSE, AMEX and NASDAQ. This is the data in the Market Diary of the WSJ. Anyone know of a souce that could be accessed using something like:
> library(quantmod)
> getSymbols(c("list of symbols for data above"), from='1970-01-01')

Normally I would calculate the stats you are talking about from the 
price history.  Both 'quantmod' and 'PerformanceAnalytics' have a number 
of functions to pull out trends, runs, and drawdown periods from a time 
series of prices or returns.


   - Brian

More information about the R-SIG-Finance mailing list