[R-SIG-Finance] Package Update: TTR_0.2 now on CRAN
josh.m.ulrich at gmail.com
Mon Feb 16 01:50:50 CET 2009
Dear R-Finance UseRs,
I am happy to announce a long-overdue update to the TTR package
(version 0.2) is now on CRAN.
This update represents a major milestone, as TTR useRs are no longer
restricted to using matrix objects. TTR 0.2 uses xts internally, so
all major time series classes are now supported.
- Added the zig zag indicator: ZigZag()
- Added volatility estimators/indicators: volatility(), with the
- Garman Klass
- Rogers Satchell
- Added Money Flow Index: MFI()
- Added Donchian channel: DonchianChannel()
- All functions now use xts internally, adding support for all major
time series classes. If try.xts() fails on the input object(s), they
will be converted to a matrix and a matrix object will be returned.
- Added 'bounded' arg to stoch() and SMI(), which includes the current
period in the calculation.
- Added naCheck() and implemented it in the moving average functions.
- Moved maType argument default values from function formals to
function body for the following functions:
ADX, ATR, CCI, DPO, EMV, KST, MACD, RSI, TRIX, BBands,
chaikinVolatility, stoch, SMI
- momentum() in CMO() no longer sets na=100
- Replaced 'na' argument in momentum() and ROC() with 'na.pad'
- Added 'multiple' argument to TDI(), allowing more user control
- getYahooData() now returns an xts object
- Added colnames to output for ADX, EMV, and CLV (for xts)
- Added unit tests using the RUnit package
- Used checkEquals on object attributes as well as values
- Removed .First.lib function and added .onLoad with package version.
- Corrected NaN replacement in CLV()
- Corrected williamsAD(): AD=0 if C(t)=C(t-1)
- Corrected runMedian() and runMAD(). The argument controlling which
type of median to calculate for even-numbered samples wasn't being
passed to the Fortran routine.
- aroon() calculation starts at period n+1, instead of n
- Added NA to first element of closeLag of ATR()
- Corrected BBands() and CCI() for rowMeans use on xts objects
- Made changes to Rd files to pass R CMD check on R-devel (2.9.0)
Please do contact me with any questions, concerns, bug reports, etc.
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