[R-SIG-Finance] TTR's RSI

Wed Apr 29 01:46:16 CEST 2009

well... this time with the attachment

On Tue, Apr 28, 2009 at 6:43 PM, Hae Kyung Im <haky.im at gmail.com> wrote:
> 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
>>>
>>> _______________________________________________
>>> R-SIG-Finance at stat.math.ethz.ch mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only.
>>> -- If you want to post, subscribe first.
>>>
>>
>
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> options(STERM='iESS', editor='emacsclient')
> ## test
> 
> rm(list=ls())
> options(digits=3,digits.sec=4)
> library(quantmod)
Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

	The following object(s) are masked from package:base :

	 as.Date.numeric 

Loading required package: Defaults
quantmod: Quantitative Financial Modelling Framework

Version 0.3-7, Revision 461
http://www.quantmod.com

> library(TTR)
> load('test.Rdata')
> ls()
[1] "data.xmin"
> class(data.xmin)
[1] "xts" "zoo"
> dim(data.xmin)
[1] 90  5
> length(RSI(data.xmin[,"Close"]))
[1] 91
> 
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