(TTR) chaikinVolatility problems
That's great input Josh. Thanks. I'm now wondering if there's a simple function to call that will tell me the date range that is valid to use for a function's that require high and low data? I suppose I could construct something that look for Hi-Lo==0, but maybe it's already in one of these packages somewhere? Thanks, Mark
On Mon, Sep 14, 2009 at 1:50 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
Mark, It's because the daily data is used to create the weekly data. ?You'll notice that the weekly high / low is the daily maximum / minimum within each week. ?You can use to.weekly (from xts) to replicate TS's weekly OHLC data from their daily data. I've generally found that HL data is sparse before 1980-ish, so don't look for it too hard (and let me know if you find it). ;-) Best, Josh -- http://www.fosstrading.com On Mon, Sep 14, 2009 at 3:44 PM, Mark Knecht <markknecht at gmail.com> wrote:
Josh, ? I don't know why I didn't see that. I'll have to investigate why the TS weekly data has OHLC values but the Daily does not. ? Thanks for pointing that out and sorry for wasting bandwidth. Cheers, Mark Weekly: "Date","Time","Open","High","Low","Close","Vol","OI" 01/08/1960,1300,59.91,60.39,59.50,59.50,18028,0 01/15/1960,1300,58.77,58.77,58.08,58.38,17680,0 01/22/1960,1300,57.89,57.89,57.07,57.38,14219,0 01/29/1960,1300,56.78,56.86,55.61,55.61,14006,0 02/05/1960,1300,55.96,56.82,55.96,55.98,14076,0 02/12/1960,1300,55.32,55.84,55.18,55.46,13483,0 Daily for same time period: "Date","Time","Open","High","Low","Close","Vol","OI","FastAvg","SlowAvg" 01/04/1960,1300,59.91,59.91,59.91,59.91,3988,0,0.00,0.00 01/05/1960,1300,60.39,60.39,60.39,60.39,3712,0,0.00,0.00 01/06/1960,1300,60.13,60.13,60.13,60.13,3730,0,0.00,0.00 01/07/1960,1300,59.69,59.69,59.69,59.69,3311,0,0.00,0.00 01/08/1960,1300,59.50,59.50,59.50,59.50,3287,0,0.00,0.00 01/11/1960,1300,58.77,58.77,58.77,58.77,3466,0,0.00,0.00 01/12/1960,1300,58.41,58.41,58.41,58.41,3764,0,0.00,0.00 01/13/1960,1300,58.08,58.08,58.08,58.08,3468,0,0.00,0.00 01/14/1960,1300,58.40,58.40,58.40,58.40,3560,0,0.00,0.00 01/15/1960,1300,58.38,58.38,58.38,58.38,3422,0,0.00,0.00 01/18/1960,1300,57.89,57.89,57.89,57.89,3019,0,0.00,0.00 01/19/1960,1300,57.27,57.27,57.27,57.27,3096,0,0.00,0.00 01/20/1960,1300,57.07,57.07,57.07,57.07,2717,0,0.00,0.00 01/21/1960,1300,57.21,57.21,57.21,57.21,2697,0,0.00,0.00 01/22/1960,1300,57.38,57.38,57.38,57.38,2690,0,0.00,0.00 01/25/1960,1300,56.78,56.78,56.78,56.78,2793,0,0.00,0.00 01/26/1960,1300,56.86,56.86,56.86,56.86,3062,0,0.00,0.00 01/27/1960,1300,56.72,56.72,56.72,56.72,2463,0,0.00,0.00 01/28/1960,1300,56.13,56.13,56.13,56.13,2627,0,0.00,0.00 01/29/1960,1300,55.61,55.61,55.61,55.61,3061,0,0.00,0.00 02/01/1960,1300,55.96,55.96,55.96,55.96,2825,0,0.00,0.00 02/02/1960,1300,56.82,56.82,56.82,56.82,3077,0,0.00,0.00 02/03/1960,1300,56.32,56.32,56.32,56.32,3022,0,0.00,0.00 02/04/1960,1300,56.27,56.27,56.27,56.27,2617,0,0.00,0.00 02/05/1960,1300,55.98,55.98,55.98,55.98,2535,0,0.00,0.00 02/08/1960,1300,55.32,55.32,55.32,55.32,3348,0,0.00,0.00 02/09/1960,1300,55.84,55.84,55.84,55.84,2859,0,0.00,0.00 02/10/1960,1300,55.49,55.49,55.49,55.49,2441,0,0.00,0.00 02/11/1960,1300,55.18,55.18,55.18,55.18,2606,0,0.00,0.00 02/12/1960,1300,55.46,55.46,55.46,55.46,2229,0,0.00,0.00 On Mon, Sep 14, 2009 at 1:25 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
Hi Mark, The limitation is in the way the indicator is constructed. ?It measures the rate of change of the trading range. ?It's failing because, at least for the observations you've shown, the trading range is *zero*. ?Please report back if you still have issues if you apply the indicator over values with non-zero differences. HTH, Josh -- http://www.fosstrading.com On Mon, Sep 14, 2009 at 3:11 PM, Mark Knecht <markknecht at gmail.com> wrote:
Hi, ? I'm wondering if there are any know limitations with the TTR chaikinVolatility function I should be aware of. I've got a small application I've been writing in R that uses it. I debugged the app using weekly data for the SPX, DJI, Nasdaq and Russell going back as far as TradeStation would give me data. Everything worked great. However when I switched to SPX daily data the indicator fails for the first 1/3 to 1/2 of the data. (Roughly 12400 days) Looking into the data output of the indicator I see this: ?[4465] ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?[4483] ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?[4501] ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 ?0.00 0.00 ? Inf ? Inf ? Inf ? Inf ? Inf ? Inf ? Inf ?[4519] ? Inf ? Inf ? Inf ? Inf ? Inf ? Inf ?3.83 ?1.75 ?0.78 ?0.46 0.35 ?0.20 ?0.15 ?0.12 ?0.12 ?0.12 ?0.09 ?0.03 ?[4537] ?0.01 ?0.05 ?0.03 ?0.02 ?0.00 -0.04 -0.03 -0.06 -0.07 -0.09 -0.13 -0.12 -0.07 -0.02 -0.02 -0.01 -0.02 ?0.01 ?[4555] -0.01 -0.01 -0.01 -0.01 ?0.04 ?0.08 ?0.11 ?0.09 ?0.04 ?0.06 0.06 ?0.10 ?0.08 ?0.07 ?0.05 ?0.07 ?0.04 -0.03 ? After the indicator starts working it continues to work, but it's all 0.00 back to the beginning except for these few Inf's in the middle. ? When I broke the code out to try to debug it before I wrote this email I got somewhat different results with NaN's:
head(TradeSystem, n=40)
? ? ? ? Date Time ?Open ?High ? Low Close ?Vol OI FastAvg SlowAvg MyDate ChVol 1 ?01/04/1960 1300 59.91 59.91 59.91 59.91 3988 ?0 ? ? ? 0 ? ? ? 0 1960-01-04 ? ?NA 2 ?01/05/1960 1300 60.39 60.39 60.39 60.39 3712 ?0 ? ? ? 0 ? ? ? 0 1960-01-05 ? ?NA 3 ?01/06/1960 1300 60.13 60.13 60.13 60.13 3730 ?0 ? ? ? 0 ? ? ? 0 1960-01-06 ? ?NA 4 ?01/07/1960 1300 59.69 59.69 59.69 59.69 3311 ?0 ? ? ? 0 ? ? ? 0 1960-01-07 ? ?NA 5 ?01/08/1960 1300 59.50 59.50 59.50 59.50 3287 ?0 ? ? ? 0 ? ? ? 0 1960-01-08 ? ?NA 6 ?01/11/1960 1300 58.77 58.77 58.77 58.77 3466 ?0 ? ? ? 0 ? ? ? 0 1960-01-11 ? ?NA 7 ?01/12/1960 1300 58.41 58.41 58.41 58.41 3764 ?0 ? ? ? 0 ? ? ? 0 1960-01-12 ? ?NA 8 ?01/13/1960 1300 58.08 58.08 58.08 58.08 3468 ?0 ? ? ? 0 ? ? ? 0 1960-01-13 ? ?NA 9 ?01/14/1960 1300 58.40 58.40 58.40 58.40 3560 ?0 ? ? ? 0 ? ? ? 0 1960-01-14 ? ?NA 10 01/15/1960 1300 58.38 58.38 58.38 58.38 3422 ?0 ? ? ? 0 ? ? ? 0 1960-01-15 ? ?NA 11 01/18/1960 1300 57.89 57.89 57.89 57.89 3019 ?0 ? ? ? 0 ? ? ? 0 1960-01-18 ? ?NA 12 01/19/1960 1300 57.27 57.27 57.27 57.27 3096 ?0 ? ? ? 0 ? ? ? 0 1960-01-19 ? ?NA 13 01/20/1960 1300 57.07 57.07 57.07 57.07 2717 ?0 ? ? ? 0 ? ? ? 0 1960-01-20 ? ?NA 14 01/21/1960 1300 57.21 57.21 57.21 57.21 2697 ?0 ? ? ? 0 ? ? ? 0 1960-01-21 ? ?NA 15 01/22/1960 1300 57.38 57.38 57.38 57.38 2690 ?0 ? ? ? 0 ? ? ? 0 1960-01-22 ? ?NA 16 01/25/1960 1300 56.78 56.78 56.78 56.78 2793 ?0 ? ? ? 0 ? ? ? 0 1960-01-25 ? ?NA 17 01/26/1960 1300 56.86 56.86 56.86 56.86 3062 ?0 ? ? ? 0 ? ? ? 0 1960-01-26 ? ?NA 18 01/27/1960 1300 56.72 56.72 56.72 56.72 2463 ?0 ? ? ? 0 ? ? ? 0 1960-01-27 ? ?NA 19 01/28/1960 1300 56.13 56.13 56.13 56.13 2627 ?0 ? ? ? 0 ? ? ? 0 1960-01-28 ? ?NA 20 01/29/1960 1300 55.61 55.61 55.61 55.61 3061 ?0 ? ? ? 0 ? ? ? 0 1960-01-29 ? ?NA 21 02/01/1960 1300 55.96 55.96 55.96 55.96 2825 ?0 ? ? ? 0 ? ? ? 0 1960-02-01 ? ?NA 22 02/02/1960 1300 56.82 56.82 56.82 56.82 3077 ?0 ? ? ? 0 ? ? ? 0 1960-02-02 ? ?NA 23 02/03/1960 1300 56.32 56.32 56.32 56.32 3022 ?0 ? ? ? 0 ? ? ? 0 1960-02-03 ? ?NA 24 02/04/1960 1300 56.27 56.27 56.27 56.27 2617 ?0 ? ? ? 0 ? ? ? 0 1960-02-04 ? ?NA 25 02/05/1960 1300 55.98 55.98 55.98 55.98 2535 ?0 ? ? ? 0 ? ? ? 0 1960-02-05 ? ?NA 26 02/08/1960 1300 55.32 55.32 55.32 55.32 3348 ?0 ? ? ? 0 ? ? ? 0 1960-02-08 ? NaN 27 02/09/1960 1300 55.84 55.84 55.84 55.84 2859 ?0 ? ? ? 0 ? ? ? 0 1960-02-09 ? NaN 28 02/10/1960 1300 55.49 55.49 55.49 55.49 2441 ?0 ? ? ? 0 ? ? ? 0 1960-02-10 ? NaN 29 02/11/1960 1300 55.18 55.18 55.18 55.18 2606 ?0 ? ? ? 0 ? ? ? 0 1960-02-11 ? NaN 30 02/12/1960 1300 55.46 55.46 55.46 55.46 2229 ?0 ? ? ? 0 ? ? ? 0 1960-02-12 ? NaN 31 02/15/1960 1300 55.17 55.17 55.17 55.17 2772 ?0 ? ? ? 0 ? ? ? 0 1960-02-15 ? NaN 32 02/16/1960 1300 54.73 54.73 54.73 54.73 3278 ?0 ? ? ? 0 ? ? ? 0 1960-02-16 ? NaN 33 02/17/1960 1300 55.03 55.03 55.03 55.03 4208 ?0 ? ? ? 0 ? ? ? 0 1960-02-17 ? NaN 34 02/18/1960 1300 55.80 55.80 55.80 55.80 3798 ?0 ? ? ? 0 ? ? ? 0 1960-02-18 ? NaN 35 02/19/1960 1300 56.24 56.24 56.24 56.24 3234 ?0 ? ? ? 0 ? ? ? 0 1960-02-19 ? NaN 36 02/23/1960 1300 55.94 55.94 55.94 55.94 2960 ?0 ? ? ? 0 ? ? ? 0 1960-02-23 ? NaN 37 02/24/1960 1300 55.74 55.74 55.74 55.74 2744 ?0 ? ? ? 0 ? ? ? 0 1960-02-24 ? NaN 38 02/25/1960 1300 55.93 55.93 55.93 55.93 3601 ?0 ? ? ? 0 ? ? ? 0 1960-02-25 ? NaN 39 02/26/1960 1300 56.16 56.16 56.16 56.16 3384 ?0 ? ? ? 0 ? ? ? 0 1960-02-26 ? NaN 40 02/29/1960 1300 56.12 56.12 56.12 56.12 2994 ?0 ? ? ? 0 ? ? ? 0 1960-02-29 ? NaN
? The data came from TradeStation. It looks OK to me visually. The
code stub I'm using follows. I could possibly post the data somewhere
if necessary.
Thanks,
Mark
require(chron)
require(ggplot2)
require(quantmod)
require(reshape)
require(TTR)
AbsLookback = 13
TradeSystem = read.csv("C:\\MiningData\\SPX_Daily.txt",header=TRUE)
#TradeSystem = read.csv("C:\\MiningData\\SPX_Weekly.txt",header=TRUE)
#TradeSystem = read.csv("C:\\MiningData\\INDU_Weekly.txt",header=TRUE)
#TradeSystem = read.csv("C:\\MiningData\\NDX_Weekly.txt",header=TRUE)
#TradeSystem = read.csv("C:\\MiningData\\RUT_Weekly.txt",header=TRUE)
TradeSystem$MyDate = as.Date(TradeSystem$Date, "%m/%d/%Y")
CVol = data.frame(chaikinVolatility(TradeSystem[,c("High","Low")],
n=AbsLookback))
names(CVol)[1]="ChVol"
TradeSystem$ChVol = round(CVol$ChVol, 2)
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