[R-SIG-Finance] using findPeaks in designing railing-stops?

[Jeffrey Ryan]

On Thu, Feb 9, 2012 at 9:00 PM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
> It looks like you need to wrap coredata() because some funny
> arithmetic is happening when the xts-ness is preserved.
>
> e.g.
>
> findPeaks(coredata(Ad(SPY)), 5)
>
> But this is perhaps a less-than-desirable feature. I'll patch it and
> send it to Josh.

Proper procedure is indeed to blame Josh for all undesirable
functionality, even in code he didn't write ;-)

Patched in R-forge rev 577. Thanks.

Jeff
>
> Michael
>
> On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
>>  Hi all,
>>
>> I am having trouble using the function "findPeaks":
>>
>> tickers="SPY"
>>
>> data *<-* new.env()
>>
>> getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data,
>> auto.assign = T)
>>
>> p=findPeaks(data$SPY[, 6], 5)
>>
>> plot(data$SPY[, 6], type="l")
>>
>> points(p, data$SPY[, 6][p])
>>
>> My goal is to implement a trailing-stop on a buy-and-hold strategy using
>> findPeaks...
>>
>> I wanted to detect whenever SPY falls 5 points from the local peak...
>>
>> The above example failed in finding the peaks (p == NULL).
>>
>> Am I missing anything here?
>>
>> Thanks a lot!
>>
>>        [[alternative HTML version deleted]]
>>
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>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

www.lemnica.com
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R/Finance 2012: Applied Finance with R
www.RinFinance.com

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