R/CMO.R

#
#   TTR: Technical Trading Rules
#
#   Copyright (C) 2007-2013  Joshua M. Ulrich
#
#   This program is free software: you can redistribute it and/or modify
#   it under the terms of the GNU General Public License as published by
#   the Free Software Foundation, either version 2 of the License, or
#   (at your option) any later version.
#
#   This program is distributed in the hope that it will be useful,
#   but WITHOUT ANY WARRANTY; without even the implied warranty of
#   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
#   GNU General Public License for more details.
#
#   You should have received a copy of the GNU General Public License
#   along with this program.  If not, see <http://www.gnu.org/licenses/>.
#

#'Chande Momentum Oscillator
#'
#'The Chande Momentum Oscillator (CMO) is a modified RSI.  Developed by Tushar
#'S. Chande.
#'
#'The CMO divides the total movement by the net movement ([up - down] / [up +
#'down]), where RSI divides the upward movement by the net movement (up / [up +
#'down]).
#'
#'@param x Price, volume, etc. series that is coercible to xts or matrix.
#'@param n Number of periods to use.
#'@return A object of the same class as \code{x} or a vector (if \code{try.xts}
#'fails) containing Chande Momentum Oscillator values.
#'@note There are several ways to interpret the CMO:
#' \enumerate{
#'   \item Values over/under +/- 50 indicate overbought/oversold conditions.
#'   \item High CMO values indicate strong trends.
#'   \item When the CMO crosses above/below a moving average of the CMO,
#'         it is a buy/sell signal.
#' }
#'@author Joshua Ulrich
#'@seealso See \code{\link{RSI}}.
#'@references The following site(s) were used to code/document this
#'indicator:\cr \url{http://www.fmlabs.com/reference/CMO.htm}\cr
#'@keywords ts
#'@examples
#'
#' data(ttrc)
#' cmo <- CMO(ttrc[,"Close"])
#'
#'@export
"CMO" <-
function(x, n=14) {

  # Chande Momentum Oscillator

  x <- try.xts(x, error=as.matrix)
  
  up <- momentum(x, n=1)
  dn <- ifelse(up<0, abs(up), 0)
  up <- ifelse(up>0,     up , 0)

  up <- runSum(up, n)
  dn <- runSum(dn, n)

  cmo <- 100 * (up-dn)/(up+dn)

  if (!is.null(dim(cmo)) && ncol(cmo) == 1L) {
    colnames(cmo) <- "cmo"
  }

  reclass( cmo, x )
}

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TTR documentation built on Sept. 21, 2018, 6:31 p.m.