Message-ID: <41A0ED88.6080801@itp.phys.ethz.ch>
Date: 2004-11-21T19:33:28Z
From: Diethelm Wuertz
Subject: Question about Exponential Weighted Moving Average (EWMA) in rmetrics.
In-Reply-To: <Pine.GSO.4.58.0411201850340.16076@play.cs.columbia.edu>
With the next release of Rmetrics the help page will extended in the
following way:
\item{lambda}{
a numeric value between zero and one giving the decay length
of the exponential moving average. If an integer value greater
than one is given, lambda is used as a lag of "n" periods to
calculate the decay parameter.
}
Please note that you will find much more (still undocumented) indicators
in the
example file xmpTradingIndicators.R. These include.
# accelTA
# adiTA
# adoscillatorTA
# bollingerTA
# chaikinoTA
# chaikinvTA
# garmanKlassTA
# macdTA
# medpriceTA
# momentumTA
# nviTA
# obvTA
# pviTA
# pvtrendTA
# rocTA
# rsiTA
# stochasticTA
# typicalPriceTA
# wcloseTA
# williamsadTA
# williamsrTA
If you have written functions for further trading indicators, please let
me know, so
I can add them to Rmetrics.
Diethelm Wuertz.
German G. Creamer wrote:
>Please disregard the previous message. I realized that in the emaTA
>equation,
>a lambda greater than one is used as a lag of n periods to calculate the
>decay parameter. A lambda less than one is used directly as the decay
>parameter.
>
>So, the functions are consistent.
>
>Thanks anyway,
>
>German
>
>_______________________________________________
>R-sig-finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>
>