changes: Rate of Change / Momentum

In TTR: Technical Trading Rules

Description

Calculate the (rate of) change of a series over n periods.

Usage

  ROC(x, n = 1, type = c("continuous", "discrete"),
    na.pad = TRUE)

  momentum(x, n = 1, na.pad = TRUE)

Arguments

x	Price, volume, etc. series that is coercible to xts or matrix.
n	Number of periods to use.
type	Compounding type; either "continuous" (the default) or "discrete".
na.pad	Should periods prior to n be appended? Default is TRUE.

Details

The ROC indicator provides the percentage difference of a series over two observations, while the momentum indicator simply provides the difference.

Value

A object of the same class as x or a vector (if try.xts fails) containing the rate-of-change (or return) values for ROC or a vector containing the differenced price series for momentum.

Author(s)

Joshua Ulrich

Examples

data(ttrc)
roc <- ROC(ttrc[,"Close"])
mom <- momentum(ttrc[,"Close"])

Example output

TTR documentation built on April 15, 2017, 8:31 a.m.