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

Calculation of the exponentially smoothed trend as a technical trading indicator.

1 |

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

`lambda` |
Numeric, the smoothing parameter for |

`init` |
The initial value in the recursive calculation of the
filter. Specifies the initial values of the time series just prior to
the start value, in reverse time order. The default, |

The exponetially smoothed trend is calculated according to the formula:

*
z_t = λ y_t + (1 - λ) * z_{t-1}
*

An object of the same class as `y`

, containing the computed
exponetially smoothed values.

- 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 es 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 es trend. The attributes are preserved and an object of the same class is returned.

- y = "xts"
Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

- y = "zoo"
Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

Bernhard Pfaff

`filter`

, `trdbilson`

,
`trdbinary`

, `trdhp`

,
`trdsma`

, `trdwma`

,
`capser`

1 2 3 4 5 | ```
data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
es <- trdes(yret, lambda = 0.95)
head(es)
``` |

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