[R-SIG-Finance] TTR's RSI

[Josh Ulrich]

Hi Haky,

Could you provide more information?  I cannot replicate your results.

> Lines <- " Open High Low Close Volume
\"2008-03-16 17:00:00\"  119  120 119   119   1305
\"2008-03-16 18:00:00\"  119  120 119   120   3237
\"2008-03-16 19:00:00\"  120  120 120   120   2813
\"2008-03-16 20:00:00\"  120  120 120   120   2857
\"2008-03-16 21:00:00\"  120  120 120   120   4561
\"2008-03-16 22:00:00\"  120  120 120   120   1988
\"2008-03-16 23:00:00\"  120  120 120   120    805
\"2008-03-17 00:00:00\"  120  120 120   120   1177
\"2008-03-17 01:00:00\"  120  120 120   120   1245
\"2008-03-17 02:00:00\"  120  120 120   120   1263
\"2008-03-17 03:00:00\"  120  120 120   120   5565
\"2008-03-17 04:00:00\"  120  120 120   120   4081
\"2008-03-17 05:00:00\"  120  120 120   120   4462
\"2008-03-17 06:00:00\"  120  120 120   120  12409
\"2008-03-17 07:00:00\"  120  120 119   119  34083
\"2008-03-17 08:00:00\"  119  120 119   120  34742
\"2008-03-17 09:00:00\"  120  120 120   120  29412
\"2008-03-17 10:00:00\"  120  120 120   120  40087
\"2008-03-17 11:00:00\"  120  120 120   120  21834
\"2008-03-17 12:00:00\"  120  120 120   120  26442
\"2008-03-17 13:00:00\"  120  120 120   120  36671
\"2008-03-17 14:00:00\"  120  120 120   120  20468
\"2008-03-17 15:00:00\"  120  120 120   120   8802"
> data.60min <- read.table(textConnection(Lines))
> dim(data.60min)
[1] 23  5
> #class(data.xmin)  # I don't know what the 'data.xmin' object is...
> class(data.60min)
[1] "data.frame"
> length(RSI(data.60min[,"Close"]))
[1] 23
> length(RSI(as.xts(data.60min)[,"Close"]))
[1] 23
> sessionInfo()
R version 2.9.0 (2009-04-17)
i386-unknown-freebsd7.1

locale:
C

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
[1] TTR_0.2-1 xts_0.6-4 zoo_1.5-5

loaded via a namespace (and not attached):
[1] grid_2.9.0      lattice_0.17-22

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



On Tue, Apr 28, 2009 at 5:29 PM, Hae Kyung Im <haky.im at gmail.com> wrote:
> Hi,
>
> for some reason when I calculate RSI on a xts object of length n, I
> get a result of length n+1 as in the following example:
>
>> dim(data.60min)
> [1] 23  5
>
>> class(data.xmin)
> [1] "xts" "zoo"
>
>> length(RSI(data.60min[,"Close"]))
> [1] 24
>
> If I plug in a vector of length 23, RSI gives me a vector of length 23.
>
>> length(RSI(runif(23)))
> [1] 23
>
> am I missing something here?
>
> Thanks
> Haky
>
>
> --------------------------------------------
> Here is the data for your reference:
>> data.60min
>                    Open High Low Close Volume
> 2008-03-16 17:00:00  119  120 119   119   1305
> 2008-03-16 18:00:00  119  120 119   120   3237
> 2008-03-16 19:00:00  120  120 120   120   2813
> 2008-03-16 20:00:00  120  120 120   120   2857
> 2008-03-16 21:00:00  120  120 120   120   4561
> 2008-03-16 22:00:00  120  120 120   120   1988
> 2008-03-16 23:00:00  120  120 120   120    805
> 2008-03-17 00:00:00  120  120 120   120   1177
> 2008-03-17 01:00:00  120  120 120   120   1245
> 2008-03-17 02:00:00  120  120 120   120   1263
> 2008-03-17 03:00:00  120  120 120   120   5565
> 2008-03-17 04:00:00  120  120 120   120   4081
> 2008-03-17 05:00:00  120  120 120   120   4462
> 2008-03-17 06:00:00  120  120 120   120  12409
> 2008-03-17 07:00:00  120  120 119   119  34083
> 2008-03-17 08:00:00  119  120 119   120  34742
> 2008-03-17 09:00:00  120  120 120   120  29412
> 2008-03-17 10:00:00  120  120 120   120  40087
> 2008-03-17 11:00:00  120  120 120   120  21834
> 2008-03-17 12:00:00  120  120 120   120  26442
> 2008-03-17 13:00:00  120  120 120   120  36671
> 2008-03-17 14:00:00  120  120 120   120  20468
> 2008-03-17 15:00:00  120  120 120   120   8802
>
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