[R-SIG-Finance] TTR's RSI

Wed Apr 29 01:59:30 CEST 2009

I think I found the problem:

I seems like the function "diff" applied to an xts column returns n
elements with NA in the first one. Normally you would get n-1
elements.

Haky

On Tue, Apr 28, 2009 at 6:46 PM, Hae Kyung Im <haky.im at gmail.com> wrote:
> 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
>>>>
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>>
>