[R-SIG-Finance] Package Update: TTR_0.2 now on CRAN

[Josh Ulrich]

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.

NEW FEATURES:

- Added the zig zag indicator: ZigZag()

- Added volatility estimators/indicators: volatility(), with the
following calculations
  - Close-to-Close
  - Garman Klass
  - Parkinson
  - Rogers Satchell

- Added Money Flow Index: MFI()

- Added Donchian channel: DonchianChannel()


CHANGES:

- 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.


BUG FIXES:

- 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.

Thank you,
Josh Ulrich
--
http://quantemplation.blogspot.com
http://www.fosstrading.com/