[R-SIG-Finance] (TTR) chaikinVolatility problems
Joshua Ulrich
josh.m.ulrich at gmail.com
Mon Sep 14 22:50:52 CEST 2009
Mark,
It's because the daily data is used to create the weekly data. You'll
notice that the weekly high / low is the daily maximum / minimum
within each week. You can use to.weekly (from xts) to replicate TS's
weekly OHLC data from their daily data.
I've generally found that HL data is sparse before 1980-ish, so don't
look for it too hard (and let me know if you find it). ;-)
Best,
Josh
--
http://www.fosstrading.com
On Mon, Sep 14, 2009 at 3:44 PM, Mark Knecht <markknecht at gmail.com> wrote:
> Josh,
> I don't know why I didn't see that. I'll have to investigate why
> the TS weekly data has OHLC values but the Daily does not.
>
> Thanks for pointing that out and sorry for wasting bandwidth.
>
> Cheers,
> Mark
>
> Weekly:
>
> "Date","Time","Open","High","Low","Close","Vol","OI"
> 01/08/1960,1300,59.91,60.39,59.50,59.50,18028,0
> 01/15/1960,1300,58.77,58.77,58.08,58.38,17680,0
> 01/22/1960,1300,57.89,57.89,57.07,57.38,14219,0
> 01/29/1960,1300,56.78,56.86,55.61,55.61,14006,0
> 02/05/1960,1300,55.96,56.82,55.96,55.98,14076,0
> 02/12/1960,1300,55.32,55.84,55.18,55.46,13483,0
>
> Daily for same time period:
>
> "Date","Time","Open","High","Low","Close","Vol","OI","FastAvg","SlowAvg"
> 01/04/1960,1300,59.91,59.91,59.91,59.91,3988,0,0.00,0.00
> 01/05/1960,1300,60.39,60.39,60.39,60.39,3712,0,0.00,0.00
> 01/06/1960,1300,60.13,60.13,60.13,60.13,3730,0,0.00,0.00
> 01/07/1960,1300,59.69,59.69,59.69,59.69,3311,0,0.00,0.00
> 01/08/1960,1300,59.50,59.50,59.50,59.50,3287,0,0.00,0.00
> 01/11/1960,1300,58.77,58.77,58.77,58.77,3466,0,0.00,0.00
> 01/12/1960,1300,58.41,58.41,58.41,58.41,3764,0,0.00,0.00
> 01/13/1960,1300,58.08,58.08,58.08,58.08,3468,0,0.00,0.00
> 01/14/1960,1300,58.40,58.40,58.40,58.40,3560,0,0.00,0.00
> 01/15/1960,1300,58.38,58.38,58.38,58.38,3422,0,0.00,0.00
> 01/18/1960,1300,57.89,57.89,57.89,57.89,3019,0,0.00,0.00
> 01/19/1960,1300,57.27,57.27,57.27,57.27,3096,0,0.00,0.00
> 01/20/1960,1300,57.07,57.07,57.07,57.07,2717,0,0.00,0.00
> 01/21/1960,1300,57.21,57.21,57.21,57.21,2697,0,0.00,0.00
> 01/22/1960,1300,57.38,57.38,57.38,57.38,2690,0,0.00,0.00
> 01/25/1960,1300,56.78,56.78,56.78,56.78,2793,0,0.00,0.00
> 01/26/1960,1300,56.86,56.86,56.86,56.86,3062,0,0.00,0.00
> 01/27/1960,1300,56.72,56.72,56.72,56.72,2463,0,0.00,0.00
> 01/28/1960,1300,56.13,56.13,56.13,56.13,2627,0,0.00,0.00
> 01/29/1960,1300,55.61,55.61,55.61,55.61,3061,0,0.00,0.00
> 02/01/1960,1300,55.96,55.96,55.96,55.96,2825,0,0.00,0.00
> 02/02/1960,1300,56.82,56.82,56.82,56.82,3077,0,0.00,0.00
> 02/03/1960,1300,56.32,56.32,56.32,56.32,3022,0,0.00,0.00
> 02/04/1960,1300,56.27,56.27,56.27,56.27,2617,0,0.00,0.00
> 02/05/1960,1300,55.98,55.98,55.98,55.98,2535,0,0.00,0.00
> 02/08/1960,1300,55.32,55.32,55.32,55.32,3348,0,0.00,0.00
> 02/09/1960,1300,55.84,55.84,55.84,55.84,2859,0,0.00,0.00
> 02/10/1960,1300,55.49,55.49,55.49,55.49,2441,0,0.00,0.00
> 02/11/1960,1300,55.18,55.18,55.18,55.18,2606,0,0.00,0.00
> 02/12/1960,1300,55.46,55.46,55.46,55.46,2229,0,0.00,0.00
>
> On Mon, Sep 14, 2009 at 1:25 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>> Hi Mark,
>>
>> The limitation is in the way the indicator is constructed. It
>> measures the rate of change of the trading range. It's failing
>> because, at least for the observations you've shown, the trading range
>> is *zero*. Please report back if you still have issues if you apply
>> the indicator over values with non-zero differences.
>>
>> HTH,
>> Josh
>> --
>> http://www.fosstrading.com
>>
>>
>>
>> On Mon, Sep 14, 2009 at 3:11 PM, Mark Knecht <markknecht at gmail.com> wrote:
>>> Hi,
>>> I'm wondering if there are any know limitations with the TTR
>>> chaikinVolatility function I should be aware of. I've got a small
>>> application I've been writing in R that uses it. I debugged the app
>>> using weekly data for the SPX, DJI, Nasdaq and Russell going back as
>>> far as TradeStation would give me data. Everything worked great.
>>> However when I switched to SPX daily data the indicator fails for the
>>> first 1/3 to 1/2 of the data. (Roughly 12400 days) Looking into the
>>> data output of the indicator I see this:
>>>
>>> [4465] 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
>>> 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
>>> [4483] 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
>>> 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
>>> [4501] 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
>>> 0.00 Inf Inf Inf Inf Inf Inf Inf
>>> [4519] Inf Inf Inf Inf Inf Inf 3.83 1.75 0.78 0.46
>>> 0.35 0.20 0.15 0.12 0.12 0.12 0.09 0.03
>>> [4537] 0.01 0.05 0.03 0.02 0.00 -0.04 -0.03 -0.06 -0.07 -0.09
>>> -0.13 -0.12 -0.07 -0.02 -0.02 -0.01 -0.02 0.01
>>> [4555] -0.01 -0.01 -0.01 -0.01 0.04 0.08 0.11 0.09 0.04 0.06
>>> 0.06 0.10 0.08 0.07 0.05 0.07 0.04 -0.03
>>>
>>> After the indicator starts working it continues to work, but it's
>>> all 0.00 back to the beginning except for these few Inf's in the
>>> middle.
>>>
>>> When I broke the code out to try to debug it before I wrote this
>>> email I got somewhat different results with NaN's:
>>>
>>>> head(TradeSystem, n=40)
>>> Date Time Open High Low Close Vol OI FastAvg SlowAvg
>>> MyDate ChVol
>>> 1 01/04/1960 1300 59.91 59.91 59.91 59.91 3988 0 0 0
>>> 1960-01-04 NA
>>> 2 01/05/1960 1300 60.39 60.39 60.39 60.39 3712 0 0 0
>>> 1960-01-05 NA
>>> 3 01/06/1960 1300 60.13 60.13 60.13 60.13 3730 0 0 0
>>> 1960-01-06 NA
>>> 4 01/07/1960 1300 59.69 59.69 59.69 59.69 3311 0 0 0
>>> 1960-01-07 NA
>>> 5 01/08/1960 1300 59.50 59.50 59.50 59.50 3287 0 0 0
>>> 1960-01-08 NA
>>> 6 01/11/1960 1300 58.77 58.77 58.77 58.77 3466 0 0 0
>>> 1960-01-11 NA
>>> 7 01/12/1960 1300 58.41 58.41 58.41 58.41 3764 0 0 0
>>> 1960-01-12 NA
>>> 8 01/13/1960 1300 58.08 58.08 58.08 58.08 3468 0 0 0
>>> 1960-01-13 NA
>>> 9 01/14/1960 1300 58.40 58.40 58.40 58.40 3560 0 0 0
>>> 1960-01-14 NA
>>> 10 01/15/1960 1300 58.38 58.38 58.38 58.38 3422 0 0 0
>>> 1960-01-15 NA
>>> 11 01/18/1960 1300 57.89 57.89 57.89 57.89 3019 0 0 0
>>> 1960-01-18 NA
>>> 12 01/19/1960 1300 57.27 57.27 57.27 57.27 3096 0 0 0
>>> 1960-01-19 NA
>>> 13 01/20/1960 1300 57.07 57.07 57.07 57.07 2717 0 0 0
>>> 1960-01-20 NA
>>> 14 01/21/1960 1300 57.21 57.21 57.21 57.21 2697 0 0 0
>>> 1960-01-21 NA
>>> 15 01/22/1960 1300 57.38 57.38 57.38 57.38 2690 0 0 0
>>> 1960-01-22 NA
>>> 16 01/25/1960 1300 56.78 56.78 56.78 56.78 2793 0 0 0
>>> 1960-01-25 NA
>>> 17 01/26/1960 1300 56.86 56.86 56.86 56.86 3062 0 0 0
>>> 1960-01-26 NA
>>> 18 01/27/1960 1300 56.72 56.72 56.72 56.72 2463 0 0 0
>>> 1960-01-27 NA
>>> 19 01/28/1960 1300 56.13 56.13 56.13 56.13 2627 0 0 0
>>> 1960-01-28 NA
>>> 20 01/29/1960 1300 55.61 55.61 55.61 55.61 3061 0 0 0
>>> 1960-01-29 NA
>>> 21 02/01/1960 1300 55.96 55.96 55.96 55.96 2825 0 0 0
>>> 1960-02-01 NA
>>> 22 02/02/1960 1300 56.82 56.82 56.82 56.82 3077 0 0 0
>>> 1960-02-02 NA
>>> 23 02/03/1960 1300 56.32 56.32 56.32 56.32 3022 0 0 0
>>> 1960-02-03 NA
>>> 24 02/04/1960 1300 56.27 56.27 56.27 56.27 2617 0 0 0
>>> 1960-02-04 NA
>>> 25 02/05/1960 1300 55.98 55.98 55.98 55.98 2535 0 0 0
>>> 1960-02-05 NA
>>> 26 02/08/1960 1300 55.32 55.32 55.32 55.32 3348 0 0 0
>>> 1960-02-08 NaN
>>> 27 02/09/1960 1300 55.84 55.84 55.84 55.84 2859 0 0 0
>>> 1960-02-09 NaN
>>> 28 02/10/1960 1300 55.49 55.49 55.49 55.49 2441 0 0 0
>>> 1960-02-10 NaN
>>> 29 02/11/1960 1300 55.18 55.18 55.18 55.18 2606 0 0 0
>>> 1960-02-11 NaN
>>> 30 02/12/1960 1300 55.46 55.46 55.46 55.46 2229 0 0 0
>>> 1960-02-12 NaN
>>> 31 02/15/1960 1300 55.17 55.17 55.17 55.17 2772 0 0 0
>>> 1960-02-15 NaN
>>> 32 02/16/1960 1300 54.73 54.73 54.73 54.73 3278 0 0 0
>>> 1960-02-16 NaN
>>> 33 02/17/1960 1300 55.03 55.03 55.03 55.03 4208 0 0 0
>>> 1960-02-17 NaN
>>> 34 02/18/1960 1300 55.80 55.80 55.80 55.80 3798 0 0 0
>>> 1960-02-18 NaN
>>> 35 02/19/1960 1300 56.24 56.24 56.24 56.24 3234 0 0 0
>>> 1960-02-19 NaN
>>> 36 02/23/1960 1300 55.94 55.94 55.94 55.94 2960 0 0 0
>>> 1960-02-23 NaN
>>> 37 02/24/1960 1300 55.74 55.74 55.74 55.74 2744 0 0 0
>>> 1960-02-24 NaN
>>> 38 02/25/1960 1300 55.93 55.93 55.93 55.93 3601 0 0 0
>>> 1960-02-25 NaN
>>> 39 02/26/1960 1300 56.16 56.16 56.16 56.16 3384 0 0 0
>>> 1960-02-26 NaN
>>> 40 02/29/1960 1300 56.12 56.12 56.12 56.12 2994 0 0 0
>>> 1960-02-29 NaN
>>>>
>>>
>>> The data came from TradeStation. It looks OK to me visually. The
>>> code stub I'm using follows. I could possibly post the data somewhere
>>> if necessary.
>>>
>>> Thanks,
>>> Mark
>>>
>>>
>>> require(chron)
>>> require(ggplot2)
>>> require(quantmod)
>>> require(reshape)
>>> require(TTR)
>>>
>>> AbsLookback = 13
>>>
>>> TradeSystem = read.csv("C:\\MiningData\\SPX_Daily.txt",header=TRUE)
>>> #TradeSystem = read.csv("C:\\MiningData\\SPX_Weekly.txt",header=TRUE)
>>> #TradeSystem = read.csv("C:\\MiningData\\INDU_Weekly.txt",header=TRUE)
>>> #TradeSystem = read.csv("C:\\MiningData\\NDX_Weekly.txt",header=TRUE)
>>> #TradeSystem = read.csv("C:\\MiningData\\RUT_Weekly.txt",header=TRUE)
>>>
>>> TradeSystem$MyDate = as.Date(TradeSystem$Date, "%m/%d/%Y")
>>>
>>> CVol = data.frame(chaikinVolatility(TradeSystem[,c("High","Low")],
>>> n=AbsLookback))
>>> names(CVol)[1]="ChVol"
>>>
>>> TradeSystem$ChVol = round(CVol$ChVol, 2)
>>>
>>> _______________________________________________
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>>
>
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