Thanks Joshua. Is there any exmaples of user defined TTR functions in R pls?

On Fri, Jul 9, 2010 at 2:23 AM, Joshua Ulrich <josh.m.ulrich@gmail.com>wrote:

> A few points of clarification:
>
> On Thu, Jul 8, 2010 at 8:04 PM, Sarbo <cmdr_rogue@hotmail.com> wrote:
> > Just type the name of the function into the command line (no parentheses
> > or arguments- just type "getYahooData" or "cReturns").
> >
> > It looks like your ttr definition is causing the problem- there's no
> > "sma" function there unless you've loaded it from another library. Try
> > something like this instead:
> >
> >
> >        library(TTR); library(ttrTests); library(quantmod)
> >        spData <- as.vector(getYahooData('SPY', start = 19900101, end =
> >        20081231)[,'Close'])
> >        cr <- cReturns(spData, ttr = 'macd4')
> >
> > Note that if you use the functions in the "MovingAverages" function set
> > in quantmod, those functions will try to convert a vector series into an
> > xts object. Since your vector series has no names for the indices, it's
> > a bit of a problem because the conversion results in an error.
> >
> The MA functions are actually defined in TTR (not quantmod) and they
> *internally* try to convert a vector series to xts, BUT there is no
> error if the vector does not have names.  In that case, TTR functions
> *internally* convert to a matrix.  I stress *internally* because TTR
> functions will return the same class of object given to them.
>
> For example:
>
> > str(SMA(1:20,10))
>  num [1:20] NA NA NA NA NA NA NA NA NA 5.5 ...
> > str(SMA(.xts(1:20,1:20),10))
> An ‘xts’ object from 1969-12-31 18:00:01 to 1969-12-31 18:00:20 containing:
>  Data: num [1:20, 1] NA NA NA NA NA NA NA NA NA 5.5 ...
>  Indexed by objects of class: [POSIXt,POSIXct] TZ:
>  xts Attributes:
>  NULL
> > str(SMA(as.zoo(.xts(1:20,1:20)),10))
> ‘zoo’ series from 1969-12-31 18:00:01 to 1969-12-31 18:00:20
>  Data: Named num [1:20] NA NA NA NA NA NA NA NA NA 5.5 ...
>  - attr(*, "names")= chr [1:20] "1969-12-31 18:00:01" "1969-12-31
> 18:00:02" "1969-12-31 18:00:03" "1969-12-31 18:00:04" ...
>  Index:  POSIXct[1:20], format: "1969-12-31 18:00:01" "1969-12-31 18:00:02"
> ...
> > str(SMA(as.ts(.xts(1:20,1:20)),10))
>  Time-Series [1:20] from 1 to 20: NA NA NA NA NA NA NA NA NA 5.5 ...
>
> Best,
> --
> Joshua Ulrich
> FOSS Trading: www.fosstrading.com
>
>
> > On Thu, 2010-07-08 at 22:41 +0100, Raghu wrote:
> >
> >> spData <-
> >> as.vector(getYahooData("SPY",start="19900101",end="20081231")[,"Close"])
> >> > cr <- cReturns(spData, ttr = "sma", params=c(20))
> >> Error in ind[t - k] <- pos[t - k + 1] - pos[t - k] :
> >>   replacement has length zero
> >>
> >> I am getting the above error when running the cReturns function. Any
> ideas
> >> on this? How does one drill down into finction codes in R?
> >>
> >> Tx
> >> Raghu
> >>
> >>       [[alternative HTML version deleted]]
> >>
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> >
> >
> >
> >        [[alternative HTML version deleted]]
> >
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-- 
'Raghu'

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