Description Usage Arguments Details Value Methods Author(s) See Also Examples
Calculation of the Bilson Trend as a technical trading indicator.
1 | trdbilson(y, exponent)
|
y |
Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported. |
exponent |
Numeric, the value for α in the equation below. |
The Bilson trend is calculated according to the formula:
z = sign(y) \times |y|^{(1 - |y|^α)}
An object of the same class as y
, containing the computed
Bilson trend values.
The calculation is applied per column of the data.frame and only if all columns are numeric.
The calculation is applied per column of the matrix.
The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend.
The calculation is applied per column of the timeSeries object and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Bernhard Pfaff
trdbinary
, trdes
,
trdhp
, trdsma
,
trdwma
, capser
1 2 3 4 5 | data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
bilson <- trdbilson(yret, exponent = 2)
head(bilson)
|
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
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.