R/chaikinVolatility.R

In 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/>.
#

#'Chaikin Volatility
#'
#'Chaikin Volatility measures the rate of change of the security's trading
#'range.  Developed by Marc Chaikin.
#'
#'The Chaikin Volatility indicator defines volatility as an increase in the
#'difference between the high and low.
#'
#'@param HL Object that is coercible to xts or matrix and contains High-Low
#'prices.
#'@param n Number of periods for moving average.
#'@param maType A function or a string naming the function to be called.
#'@param \dots Other arguments to be passed to the \code{maType} function.
#'@return A object of the same class as \code{HL} or a vector (if
#'\code{try.xts} fails) containing the Chaikin Volatility values.
#'@note A rapid increase in Chaikin Volatility indicates an approaching bottom.
#'A slow decrease in Chaikin Volatility indicates an approaching top.
#'@author Joshua Ulrich
#'@seealso See \code{\link{EMA}}, \code{\link{SMA}}, etc. for moving average
#'options; and note Warning section.  See \code{\link{TR}} for another
#'volatility measure.
#'@references The following site(s) were used to code/document this
#'indicator:\cr \url{http://www.fmlabs.com/reference/ChaikinVolatility.htm}\cr
#'\url{http://www.equis.com/Customer/Resources/TAAZ/Default.aspx?c=3&p=120}\cr
#'@keywords ts
#'@examples
#'
#' data(ttrc)
#' volatility <- chaikinVolatility(ttrc[,c("High","Low")])
#'
#'@export
"chaikinVolatility" <-
function(HL, n=10, maType, ...) {

  # Chaikin Volatility

  HL <- try.xts(HL, error=as.matrix)

  maArgs <- list(n=n, ...)
  # Default MA
  if(missing(maType)) {
    maType <- 'EMA'
  }

  mavg <- do.call( maType, c( list(HL[,1]-HL[,2]), maArgs ) )

  volatility <- ROC( mavg, n, type="discrete" )

  reclass(volatility, HL)
}