R/williamsAD.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/>.
#

#' Williams Accumulation / Distribution
#'
#' The Williams Accumulation / Distribution (AD) line is a measure of market
#' momentum.  Developed by Larry Williams.
#'
#' The Williams AD line differs from OBV and chaikinAD in that it doesn't take
#' volume into account.
#'
#' @param HLC Object that is coercible to xts or matrix and contains
#' High-Low-Close prices.
#' @return A object of the same class as \code{HLC} 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}}, \code{\link{chaikinAD}}, and
#' \code{\link{ATR}}.
#' @references The following site(s) were used to code/document this
#' indicator:\cr
#' \url{https://www.fmlabs.com/reference/WilliamsAD.htm}\cr
#' \url{https://www.metastock.com/Customer/Resources/TAAZ/?p=125}\cr
#' @keywords ts
#' @examples
#'
#'  data(ttrc)
#'  ad <- williamsAD(ttrc[,c("High","Low","Close")])
#'
"williamsAD" <-
function(HLC) {

  # Williams Accumulation/Distribution

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

  # Calculate change in close, and true high/low
  dCl <- momentum(HLC[,3], 1)
  atr <- ATR(HLC)

  # Calculate AD
  ad <- HLC[,3] - ifelse( dCl > 0, atr[,"trueLow"], atr[,"trueHigh"] )
  ad[ dCl == 0 ] <- 0

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

  reclass(ad, HLC)
}