trdbilson: Bilson Trend

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Calculation of the Bilson Trend as a technical trading indicator.

Usage

trdbilson(y, exponent)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.
exponent	Numeric, the value for α in the equation below.

Details

The Bilson trend is calculated according to the formula:

z = sign(y) \times |y|^{(1 - |y|^α)}

Value

An object of the same class as y, containing the computed Bilson trend values.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the bilson trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

Author(s)

Bernhard Pfaff

See Also

trdbinary, trdes, trdhp, trdsma, trdwma, capser

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
bilson <- trdbilson(yret, exponent = 2)
head(bilson)

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

[1]  0.01948730 -0.01935785  0.01177193 -0.04517835  0.10349955 -0.01545405

FRAPO documentation built on May 2, 2019, 6:33 a.m.