trdbinary: Binary Trend

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Calculation of the Binary Trend as a technical trading indicator.

Usage

trdbinary(y)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.

Details

The Binary trend is calculated according to the formula:

z = sign(y) \times \min(|4 / π \arctan(y)|, 1)

Value

An object of the same class as y, containing the computed Binary 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 binary 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 binary trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

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

y = "zoo"

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

Author(s)

Bernhard Pfaff

See Also

trdbilson, trdes, trdhp, trdsma, trdwma, capser

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
binary <- trdbinary(yret)
head(binary)

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]  0.02477189 -0.02460780  0.01497858 -0.05712579  0.12829276 -0.01965560

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