[R-SIG-Finance] ttrTests error

[Joshua Ulrich]

A few points of clarification:

On Thu, Jul 8, 2010 at 8:04 PM, Sarbo <cmdr_rogue at hotmail.com> wrote:
> Just type the name of the function into the command line (no parentheses
> or arguments- just type "getYahooData" or "cReturns").
>
> It looks like your ttr definition is causing the problem- there's no
> "sma" function there unless you've loaded it from another library. Try
> something like this instead:
>
>
>        library(TTR); library(ttrTests); library(quantmod)
>        spData <- as.vector(getYahooData('SPY', start = 19900101, end =
>        20081231)[,'Close'])
>        cr <- cReturns(spData, ttr = 'macd4')
>
> Note that if you use the functions in the "MovingAverages" function set
> in quantmod, those functions will try to convert a vector series into an
> xts object. Since your vector series has no names for the indices, it's
> a bit of a problem because the conversion results in an error.
>
The MA functions are actually defined in TTR (not quantmod) and they
*internally* try to convert a vector series to xts, BUT there is no
error if the vector does not have names.  In that case, TTR functions
*internally* convert to a matrix.  I stress *internally* because TTR
functions will return the same class of object given to them.

For example:

> str(SMA(1:20,10))
 num [1:20] NA NA NA NA NA NA NA NA NA 5.5 ...
> str(SMA(.xts(1:20,1:20),10))
An ‘xts’ object from 1969-12-31 18:00:01 to 1969-12-31 18:00:20 containing:
  Data: num [1:20, 1] NA NA NA NA NA NA NA NA NA 5.5 ...
  Indexed by objects of class: [POSIXt,POSIXct] TZ:
  xts Attributes:
 NULL
> str(SMA(as.zoo(.xts(1:20,1:20)),10))
‘zoo’ series from 1969-12-31 18:00:01 to 1969-12-31 18:00:20
  Data: Named num [1:20] NA NA NA NA NA NA NA NA NA 5.5 ...
 - attr(*, "names")= chr [1:20] "1969-12-31 18:00:01" "1969-12-31
18:00:02" "1969-12-31 18:00:03" "1969-12-31 18:00:04" ...
  Index:  POSIXct[1:20], format: "1969-12-31 18:00:01" "1969-12-31 18:00:02" ...
> str(SMA(as.ts(.xts(1:20,1:20)),10))
 Time-Series [1:20] from 1 to 20: NA NA NA NA NA NA NA NA NA 5.5 ...

Best,
--
Joshua Ulrich
FOSS Trading: www.fosstrading.com


> On Thu, 2010-07-08 at 22:41 +0100, Raghu wrote:
>
>> spData <-
>> as.vector(getYahooData("SPY",start="19900101",end="20081231")[,"Close"])
>> > cr <- cReturns(spData, ttr = "sma", params=c(20))
>> Error in ind[t - k] <- pos[t - k + 1] - pos[t - k] :
>>   replacement has length zero
>>
>> I am getting the above error when running the cReturns function. Any ideas
>> on this? How does one drill down into finction codes in R?
>>
>> Tx
>> Raghu
>>
>>       [[alternative HTML version deleted]]
>>
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