R/aroon.R

In TTR: Technical Trading Rules

#
#   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/>.
#

#' Aroon
#'
#' The Aroon indicator attempts to identify starting trends.  The indicator
#' consists of up and down lines, which measure how long it has been since the
#' highest high/lowest low has occurred in the last \code{n} periods.  Developed
#' by Tushar Chande in 1995.
#'
#' Aroon up (down) is the elapsed time, expressed as a percentage, between today
#' and the highest (lowest) price in the last \code{n} periods.  If today's
#' price is a new high (low) Aroon up (down) will be 100. Each subsequent period
#' without another new high (low) causes Aroon up (down) to decrease by (1 /
#' \code{n}) x 100.
#'
#' @param HL Object that is coercible to xts or matrix and contains either a
#' High-Low price series, or a Close price series.
#' @param n Number of periods to use in the calculation.
#' @return A object of the same class as \code{HL} or a matrix (if
#' \code{try.xts} fails) containing the columns:
#'  \describe{
#'   \item{ aroonUp }{ The Aroon up indicator. }
#'   \item{ aroonDn }{ The Aroon down indicator. }
#'   \item{ oscillator }{ The Aroon oscillator (\code{aroonUp - aroonDn}). }
#'  }
#' @note If High-Low prices are given, the function calculates the max/min using
#' the high/low prices.  Otherwise the function calculates the max/min of the
#' single series.
#'
#' Up (down) trends are indicated when the aroonUp(Dn) is between 70 and 100.
#' Strong trends are indicated when when the aroonUp(Dn) is above 70 while the
#' aroonDn(Up) is below 30.  Also, crossovers may be useful.
#' @author Joshua Ulrich
#' @seealso See \code{\link{CCI}}, \code{\link{ADX}}, \code{\link{TDI}},
#' \code{\link{VHF}}, \code{\link{GMMA}} for other indicators that measure trend
#' direction/strength.
#' @references The following site(s) were used to code/document this
#' indicator:\cr \url{https://www.fmlabs.com/reference/Aroon.htm}\cr
#' \url{https://www.fmlabs.com/reference/AroonOscillator.htm}\cr
#' \url{https://www.linnsoft.com/techind/aroon-arn}\cr
#' \url{https://school.stockcharts.com/doku.php?id=technical_indicators:aroon}\cr
#' @keywords ts
#' @examples
#'
#'  ## Get Data and Indicator ##
#'  data(ttrc)
#'  trend <- aroon( ttrc[,c("High", "Low")], n=20 )
#'
"aroon" <-
function(HL, n=20) {

  # Aroon up, down, and oscillator.

  HL <- try.xts(HL, error=as.matrix)

  # Calculation if price vector is given
  if(NCOL(HL)==1) {
    high <- HL
    low  <- HL
  } else

  # Calculation if HL series is given
  if(NCOL(HL)==2) {
    high <- HL[,1]
    low  <- HL[,2]
  } else

  stop("Price series must be either High-Low, or Close")

  # Calculate Aroon UP and DOWN
  aroonUp <- .Call(C_aroon_max, high, n)
  aroonDn <- .Call(C_aroon_max, -low, n)

  oscillator <- aroonUp - aroonDn
  result <- cbind( aroonUp, aroonDn, oscillator )
  colnames(result) <- c( "aroonUp", "aroonDn", "oscillator" )

  reclass( result, HL )
}