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/>.
#

#' Miscellaneous Tools
#'
#' Various functions that may be useful in designing technical trading rules.
#'
#' \code{growth} calculates the growth of an investment using given prices and
#' signals.
#'
#' \code{lags} calculates the lags of a given series.
#'
#' @aliases growth lags
#' @param price Price series that is coercible to xts or matrix.
#' @param signals Signals to use (defaults to vector of ones).  Use '0' for no
#' position, '1' for long position, and '-1' for short position.
#' @param x Object that is coercible to xts or matrix.
#' @param n Number of periods to use.
#' @param \dots Further arguments to be passed from or to other methods.
#' @return \code{growth} returns a vector of the growth of the investment.
#'
#' \code{lags} returns a matrix of lagged values of the original vector.
#'
#' @note In \code{growth} you can specify the number of periods and type of
#' compounding to use when calculating returns of the price series via the
#' \code{'\dots'} argument.
#' @author Joshua Ulrich
#' @keywords ts
#' @rdname TTRtools
"lags" <-
function(x, n=1) {

  #.Deprecated(c("xts::lag.xts","quantmod::Lag"),"TTR")

  # Calculate lags of a series

  x <- as.matrix(x)
  if( is.null(colnames(x)) ) colnames(x) <- paste("V",1:NCOL(x),sep="")

  out <- embed(x, n+1)
  if(n==1)       lag.names <- 1    else
  if(NCOL(x)==1) lag.names <- 1:n  else  lag.names <- rep(1:n,NCOL(x))

  colnames(out) <- c( colnames(x), paste(colnames(x), sort(lag.names), sep=".") )

  return( out )
}

#-------------------------------------------------------------------------#
#' @rdname TTRtools
"growth" <-
function(price, signals, ...) {

  # Calculate growth of $1 for a series of returns (and signals).

  if(missing(signals)) {
    signals <- rep(1,NROW(price))
  } else {
    signals <- as.vector(signals)
  }
  price  <- as.vector(price)
  growth <- cumprod( 1 + ROC(price, ...) * signals )

  return( growth )
}

#-------------------------------------------------------------------------#

#' @rdname TTRtools
'naCheck' <-
function(x, n=0) {

  # Ensure NAs are only at beginning of data.
  if(is.null(dim(x)[2])) {
    NAs <- sum(is.na(x))
    if( NAs > 0 ) {
      if( any( is.na(x[-(1:NAs)]) ) ) stop("Series contains non-leading NAs")
    }
  } else {
    NAs <- sum( rowSums(is.na(x)) > 0 )
    if( NAs > 0 ) {
      if( any( is.na(x[-(1:NAs),]) ) ) stop("Series contains non-leading NAs")
    }
  }

  res <- list()
  res$NAs <- NAs
  res$nonNA <- (1+NAs):NROW(x)
  res$beg <- n+NAs

  invisible(res)
}