R/chaikinAD.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/>.
#

#'Chaikin Accumulation / Distribution
#'
#'The Chaikin Accumulation / Distribution (AD) line is a measure of the money
#'flowing into or out of a security.  It is similar to On Balance Volume (OBV).
#'Developed by Marc Chaikin.
#'
#'The AD line is similar to OBV; the difference is that OBV sums volume
#'multiplied by +/- 1 if the close is higher/lower than the previous close,
#'while the AD line multiplies volume by the close location value (CLV).
#'
#'@param HLC Object that is coercible to xts or matrix and contains
#'High-Low-Close prices.
#'@param volume Vector or matrix of volume observations corresponding to the
#'\code{HLC} object.
#'@return A object of the same class as \code{HLC} and \code{volume} or a
#'vector (if \code{try.xts} fails) containing the accumulation / distribution
#'values.
#'@note The Accumulation/Distribution Line is interpreted by looking for a
#'divergence in the direction of the indicator relative to price.
#'@author Joshua Ulrich
#'@seealso See \code{\link{OBV}}, and \code{\link{CLV}}.
#'@references The following site(s) were used to code/document this
#'indicator:\cr \url{https://www.fmlabs.com/reference/AccumDist.htm}\cr
#'\url{https://www.metastock.com/Customer/Resources/TAAZ/?p=27}\cr
#'\url{https://www.linnsoft.com/techind/accumulation-distribution}\cr
#'\url{https://school.stockcharts.com/doku.php?id=technical_indicators:accumulation_distribution_line}\cr
#'@keywords ts
#'@examples
#'
#' data(ttrc)
#' ad <- chaikinAD(ttrc[,c("High","Low","Close")], ttrc[,"Volume"])
#'
"chaikinAD" <-
function(HLC, volume) {

  # Chaikin Accumulation / Distribution

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

  if(!(is.xts(HLC) && is.xts(volume))) {
    HLC <- as.matrix(HLC)
    volume <- as.matrix(volume)
  }

  ad  <- CLV(HLC) * volume

  ad.na <- naCheck(ad)
  ad <- cumsum( ad[ad.na$nonNA] )
  ad <- c( rep( NA, ad.na$NAs ), ad )

  reclass(ad, HLC)
}