fin-turnpoints: Turning Points of a Time Series

Description Usage Arguments Details Value Author(s) References Examples

Description

Extracts and analyzes turn points of an univariate timeSeries object.

Usage

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turns(x, ...)

turnsStats(x, doplot = TRUE)

Arguments

x

an univariate 'timeSeries' object of financial indices or prices.

...

optional arguments passed to the function na.omit.

doplot

a logical flag, should the results be plotted? By default TRUE.

Details

The function turns determines the number and the position of extrema (turning points, either peaks or pits) in a regular time series.

The function turnsStats calculates the quantity of information associated to the observations in this series, according to Kendall's information theory.

The functions are borrowed from the contributed R package pastecs and made ready for working together with univariate timeSeries objects. You need not to load the R package pastecs, the code parts we need here are builtin in the timeSeries package.

We have renamed the function turnpoints to turns to distinguish between the original function in the contributed R package pastecs and our Rmetrics function wrapper.

For further details please consult the help page from the contributed R package pastecs.

Value

turns
returns an object of class timeSeries.

turnsStats
returns an object of class turnpoints with the following entries:
data - The dataset to which the calculation is done.
n - The number of observations.
points - The value of the points in the series, after elimination of ex-aequos.
pos - The position of the points on the time scale in the series (including ex-aequos).
exaequos - Location of exaequos (1), or not (0).
nturns - Total number of tunring points in the whole time series.
firstispeak - Is the first turning point a peak (TRUE), or not (FALSE).
peaks - Logical vector. Location of the peaks in the time series without ex-aequos.
pits - Logical vector. Location of the pits in the time series without ex-aequos.
tppos - Position of the turning points in the initial series (with ex-aequos).
proba - Probability to find a turning point at this location.
info - Quantity of information associated with this point.

Author(s)

Frederic Ibanez and Philippe Grosjean for code from the contributed R package pastecs and Rmetrics for the function wrapper.

References

Ibanez, F., 1982, Sur une nouvelle application de la theorie de l'information a la description des series chronologiques planctoniques. J. Exp. Mar. Biol. Ecol., 4, 619–632

Kendall, M.G., 1976, Time Series, 2nd ed. Charles Griffin and Co, London.

Examples

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## Load Swiss Equities Series -  
   SPI.RET <- LPP2005REC[, "SPI"]
   head(SPI.RET)

## Cumulate and Smooth the Series -
   SPI <- smoothLowess(cumulated(SPI.RET), f=0.05)
   plot(SPI)
   
## Plot Turn Points Series - 
   SPI.SMOOTH <- SPI[, 2]
   tP <- turns(SPI.SMOOTH)
   plot(tP)
   
## Compute Statistics -
   turnsStats(SPI.SMOOTH)

Example output

Loading required package: timeDate
GMT
                    SPI
2005-11-01  0.008414595
2005-11-02  0.002519342
2005-11-03  0.012707292
2005-11-04 -0.000702757
2005-11-07  0.006205226
2005-11-08  0.000329260
Turning points for: x 

nbr observations  : 377 
nbr ex-aequos     : 0 
nbr turning points: 14 (first point is a peak)
E(p) = 250 Var(p) = 66.7 (theoretical)

   point type         proba      info
1     28 peak  2.894020e-32 104.76862
2     34  pit  1.941760e-24  78.76891
3     55 peak  1.370106e-21  69.30620
4     58  pit  9.874935e-31  99.67600
5     85 peak  6.665581e-30  96.92111
6     88  pit  5.157541e-54 177.01743
7    130 peak  2.664544e-90 297.55964
8    163  pit  7.413829e-51 166.52811
9    178 peak  2.069038e-16  52.10189
10   184  pit 1.402003e-137 454.61666
11   271 peak 3.830644e-146 483.06391
12   286  pit  1.471670e-80 265.19679
13   337 peak  7.722581e-84 276.09288
14   355  pit  6.778577e-39 126.79421

timeSeries documentation built on Nov. 17, 2017, 2:23 p.m.