[R-SIG-Finance] TTR's RSI

[Hae Kyung Im]

Hi Josh,

I am attaching the following files

test.Rdata (with data.xmin, the xts object)
replic.r
replic.output.txt (output when I source replic.r)

Thanks
Haky


On Tue, Apr 28, 2009 at 5:49 PM, Josh Ulrich <josh.m.ulrich at gmail.com> wrote:
> 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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