peak: Find Peaks and Valleys In A Series
In quantmod: Quantitative Financial Modelling Framework

Description Usage Arguments Value Author(s) Examples

Functions to find the peaks (tops) and valleys (bottoms) of a given series.

1 2	findPeaks(x, thresh=0) findValleys(x, thresh=0)

`x`	a time series or vector
`thresh`	minimum peak/valley threshold

A vector of integers corresponding to peaks/valleys.

As a peak[valley] is defined as the highest[lowest] value in a series, the function can only define it after a change in direction has occurred. This means that the function will always return the first period after the peak/valley of the data, so as not to accidentally induce a look-ahead bias.

Jeffrey A. Ryan

findPeaks(sin(1:10))

p <- findPeaks(sin(seq(1,10,.1)))
sin(seq(1,10,.1))[p]

plot(sin(seq(1,10,.1))[p])
plot(sin(seq(1,10,.1)),type='l')
points(p,sin(seq(1,10,.1))[p])

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.
[1] 3 9
[1] 0.9916648 0.9893582