trdbilson: Bilson Trend

Description Usage Arguments Details Value Methods Author(s) See Also Examples

Description

Calculation of the Bilson Trend as a technical trading indicator.

Usage

1
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

1
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5
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.

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