strength_ROC: Creates a ranking of rate of change representing strength of...
In greatgray/scorecard: GGCM Model Performance Scorecard

Description Usage Arguments Value See Also Examples

Creates a ranking of rate of change representing strength of asset returns. Uses the TTR::ROC function for rate-of-change value. Applies the TTR::runSD running standard deviations. Computes strength as strength <- roc / rd. Uses the discrete ROC type.

1	strength_ROC(x, roc_n = 3, sd_n = 3)

`x`	price history as XTS, more than one column of asset prices.
`roc_n`	ROC lookback period in same periodicity as `x`; default 3.
`sd_n`	standard deviation moving window length; default 3.

a row rank as determined by row_rank

row_rank, TTR::ROC, TTR::runSD

## Not run: 
library(quantmod)
getSymbols("XLP",auto.assign=TRUE)
getSymbols("XLV",auto.assign=TRUE)
ranking <- strength_ROC(cbind(Cl(XLP),Cl(XLV)),6,3)
tail(ranking)

## End(Not run)