Nothing
CSPGap <- function (TS, ignoreShadows=FALSE) {
if (ignoreShadows==TRUE) {
if (!is.OC(TS)) {
stop("Price series must contain Open and Close.")
}
LAGTS <- LagOC(TS, k=1)
TSOC <- cbind(Op(TS), Cl(TS))
LAGTSOC <- cbind(Op(LAGTS), Cl(LAGTS))
UPGAP <- reclass( pmax(Op(LAGTSOC), Cl(LAGTSOC)) < pmin(Op(TSOC), Cl(TSOC)) , TS)
DOWNGAP <- reclass( pmin(Op(LAGTSOC), Cl(LAGTSOC)) > pmax(Op(TSOC), Cl(TSOC)), TS)
}
else if (ignoreShadows==FALSE) {
if (!is.OHLC(TS)) {
stop("Price series must contain Open, High, Low and Close.")
}
LAGTS <- LagOHLC(TS, k=1)
UPGAP <- reclass( Lo(TS) > Hi(LAGTS) , TS)
DOWNGAP <- reclass( Hi(TS) < Lo(LAGTS) , TS)
}
result <- cbind(UPGAP, DOWNGAP)
colnames(result) <- c("GapUp", "GapDown")
xtsAttributes(result) <- list(bars=2)
return (result)
}
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