[R-SIG-Finance] Quantmod SMA not working

[Joshua Ulrich]

Hi Mark,

On Mon, Mar 5, 2012 at 2:29 PM, Mark Harrison <harrisonmark1 at gmail.com> wrote:
> I will try switching the load order...
>
> I have been using the EMA from fTrading because I can assign where the
> values start and I do not get 'NAs'.  I was trying to recreate an EMA
> formula that I had been using in excel.  It always did what I needed
> so I just stuck with it.
>
> I added two columns using the fTrading EMA and TTR EMA labled for the
> package so you can see the difference.  Probably too much
> information....
>
>                   Open    High     Low   Close   fTrading TTR
> 2010-12-31 63.270 63.535 63.120 63.425 63.42500  NA
> 2011-01-03 63.310 63.670 63.085 63.620 63.44357  NA
> 2011-01-04 63.615 64.040 63.365 63.740 63.47180  NA
> 2011-01-05 63.770 64.495 63.430 64.415 63.56163  NA
> 2011-01-06 64.405 64.530 64.070 64.340 63.63576  NA
> 2011-01-07 64.325 64.490 63.950 64.280 63.69712  NA
>
TTR::EMA doesn't provide values for the first n-1 observations because
they shouldn't be relied on.  You need ~3n observations before the EMA
results start to stabilize.  See the Warning and Examples section of
?MA.

You can 'trick' EMA to provide numbers where it usually provides NA by
setting n=1 and ratio=2/(n+1), but these numbers are still meaningless
for all practical purposes.

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

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


> On Mon, Mar 5, 2012 at 1:47 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
>> The problem is that fTrading also has an SMA function.  You can either
>> load it before loading quantmod/TTR or ... not use it??
>>
>> Note the conflict when you call library(fTrading) _after_ you load quantmod/TTR
>>
>> Is there a function in fTrading that you need that isn't in TTR
>>
>> Jeff
>>
>> On Mon, Mar 5, 2012 at 1:36 PM, Mark Harrison <harrisonmark1 at gmail.com> wrote:
>>> I am trying to do some data comparisons and want to use quantmod and
>>> the addSMA feature.  However, I keep getting errors when I try the
>>> addSMA command.  I did try the email but nothing I saw answered or
>>> fixed this issue.
>>>
>>> When I run addSMA(20) on my data - examples below - I get the following error:
>>>
>>> Error in matrix(ma.tmp[lchob at xsubset, ], nc = NCOL(ma.tmp)) :
>>>  subscript out of bounds
>>>
>>> If I just grab Apple data from Yahoo and run:
>>>
>>> chartSeries(AAPL, subset='last 6 months')
>>> addSMA(20)
>>>
>>> The first command works and the chart appears but the addSMA command
>>> gives me the same error as above.
>>>
>>> MyData Example:
>>>             Open   High    Low  Close
>>> 2010-12-31 63.270 63.535 63.120 63.425
>>> 2011-01-03 63.310 63.670 63.085 63.620
>>> 2011-01-04 63.615 64.040 63.365 63.740
>>> 2011-01-05 63.770 64.495 63.430 64.415
>>> 2011-01-06 64.405 64.530 64.070 64.340
>>> 2011-01-07 64.325 64.490 63.950 64.280
>>>
>>> Session Info:
>>>
>>> R version 2.14.0 (2011-10-31)
>>> Platform: x86_64-pc-mingw32/x64 (64-bit)
>>>
>>> locale:
>>> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
>>> States.1252
>>> [3] LC_MONETARY=English_United States.1252 LC_NUMERIC=C
>>> [5] LC_TIME=English_United States.1252
>>>
>>> attached base packages:
>>> [1] datasets  grDevices utils     graphics  stats     methods   base
>>>
>>> other attached packages:
>>>  [1] blotter_0.8.4              fTrading_2110.77
>>> fBasics_2110.79
>>>  [4] MASS_7.3-16                timeSeries_2140.93
>>> timeDate_2150.95
>>>  [7] twsInstrument_1.3-1        IBrokers_0.9-3             qmao_1.1.6
>>> [10] FinancialInstrument_0.10.9 quantmod_0.3-17            TTR_0.21-0
>>> [13] xts_0.8-4                  zoo_1.7-7
>>> Defaults_1.1-1
>>>
>>> loaded via a namespace (and not attached):
>>> [1] grid_2.14.0      lattice_0.20-3   quantstrat_0.6.1 tools_2.14.0
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
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>>> -- 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!!!!
>
> _______________________________________________
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