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

R. Michael Weylandt michael.weylandt at gmail.com
Thu Feb 16 16:17:17 CET 2012


You'll get more if you lower your threshold value (the 5)

Michael

On Thu, Feb 16, 2012 at 10:13 AM, Luna <lunamoonmoon at gmail.com> wrote:
> Hi friends,
>
> Thanks for your help!
>
> I just did a new test:
>
> aa=100:1
> bb=sin(aa/3)
> cc=aa*bb
> plot(cc, type="l")
> p=findPeaks(cc, 5)
> points(p, cc[p])
> points(p, cc[p])
>
>>
>
> p
>
> [1] 3 22 41
>
>
>
> It only picks up 3 peaks, which is obviously wrong, am I correct?
>
> Thanks a lot!
>
> On Thu, Feb 9, 2012 at 9:55 PM, R. Michael Weylandt
> <michael.weylandt at gmail.com> wrote:
>>
>> 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]]
>> >>>
>> >>> _______________________________________________
>> >>> R-SIG-Finance at r-project.org mailing list
>> >>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> >>> -- Subscriber-posting only. If you want to post, subscribe first.
>> >>> -- Also note that this is not the r-help list where general R
>> >>> questions should go.
>> >>
>> >> _______________________________________________
>> >> R-SIG-Finance at r-project.org mailing list
>> >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> >> -- Subscriber-posting only. If you want to post, subscribe first.
>> >> -- Also note that this is not the r-help list where general R questions
>> >> should go.
>> >
>> >
>> >
>> > --
>> > 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!!!!
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>
>



More information about the R-SIG-Finance mailing list