Find Peaks and Valleys In A Series
Functions to find the peaks (tops) and valleys (bottoms) of a given series.
a time series or vector
minimum peak/valley threshold
A vector of integers corresponding to peaks/valleys.
As a peak[valley] is defined as the highest[lowest] value in a series, the function can only define it after a change in direction has occurred. This means that the function will always return the first period after the peak/valley of the data, so as not to accidentally induce a look-ahead bias.
Jeffrey A. Ryan
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