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

[R. Michael Weylandt]

Happy to follow procedure.

Thanks for jumping on it so quickly.

Michael Weylandt

On Thu, Feb 9, 2012 at 10:40 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
> 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
> www.esotericR.com
>
> R/Finance 2012: Applied Finance with R
> www.RinFinance.com
>
> See you in Chicago!!!!