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

[R. Michael Weylandt]

No....perhaps you misunderstand what the "threshold" means? It means
the point of interest has to be x greater than its neighbor, not the
amount by which it has to exceed the valley. If you look in the
neighborhood of ~55:65 (the "next peak" on your graph) you'll see no
point is that far above its predecessor so there's no peak (so to
speak). Type findPeaks without parentheses and try to understand the
code used and the implicit definition of what a peak is. There's also
a lag convention you should be aware of.

What do you mean you cannot change the number 5?

Michael

On Thu, Feb 16, 2012 at 10:18 AM, Luna <lunamoonmoon at gmail.com> wrote:
> But using my eye from the plot it should have more local peaks even with
> tolerance 5... no?
>
> I cannot change the number 5....
>
> On Thu, Feb 16, 2012 at 9:17 AM, R. Michael Weylandt
> <michael.weylandt at gmail.com> wrote:
>>
>> 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]]
>> >> >>>
>> >> >>> _______________________________________________
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>> >> >>> questions should go.
>> >> >>
>> >> >> _______________________________________________
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>> >> >> 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!!!!
>> >>
>> >> _______________________________________________
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>> >> should go.
>> >
>> >
>
>