Aroon: Calculates the Aroon oscillator and outputs a signal for buy...

In helenristov/aCompiler: What the package does (short line)

Description

Calculates the Aroon oscillator and outputs a signal for buy and sell events

Usage

Aroon(spread.data, vol.settings, volBand, aroon.settings,
  use.volFilter = TRUE, ...)

Arguments

spread.data	A price series
vol.settings	A list with the vol settings to be used for the threshold computation
volBand	The number of standard deviations that set the zone around which we compute the aroon values.
aroon.settings	The time bucket for the Aroon oscillator and the threshold value for the buy and sell signal
use.volFilter	filter out any values that are inside the volBand

Value

list of Aroon indicators and triggers:

aroon.up.sig	The value of the oscillator if the threshold on the upside is breached and outside the volBand, NA otherwise
aroon.down.sig	The value of the oscillator if the threshold on the downside is breached and outside the volBand, NA otherwise
binary.signal	The combinations of the up and down signal into one field with 0 implying no action, -1 implying a sell, and 1 implying a buy
binary.filter	The binary signal with consecutive buy and sell signals filtered out

Author(s)

Helena Ristov and Cameron Sawyer

helenristov/aCompiler documentation built on May 3, 2019, 9:40 p.m.