R/Tind.R

In mdavis29/stockFunctions: Tools for xts Stock Tickers

#' @title Trade Signal Detector
#' @param quotes An xts object containing stock quotes (build from getSymbols in quantmod)
#' @param tgt.margin percent increase or decrease in high or low price
#' @param n.days Number of days ahead
#' @author Matthew Davis
#' @export
#' @description creates a buy sell hold trade signal from stock quotes downloaded using quatmod
#' @return xts object of trade signals, buy when T.ind > 0.1, Sell < -0.1, else hold.
T.ind <- function(quotes,tgt.margin=0.025,n.days=10) {
  v <- apply(HLC(quotes),1,mean)
  
  r <- matrix(NA,ncol=n.days,nrow=NROW(quotes))
  
  for(x in 1:n.days) r[,x] <- Next(Delt(Cl(quotes),v,k=x),x)
  
  x <- apply(r,1,function(x) sum(x[x > tgt.margin | x < -tgt.margin]))
  if (is.xts(quotes)) xts(x,time(quotes)) else x
}