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using findPeaks in designing railing-stops?
8 messages · Michael, Jeff Ryan, R. Michael Weylandt +1 more
It looks like you need to wrap coredata() because some funny arithmetic is happening when the xts-ness is preserved. e.g. findPeaks(coredata(Ad(SPY)), 5) But this is perhaps a less-than-desirable feature. I'll patch it and send it to Josh. Michael
On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
?Hi all, I am having trouble using the function "findPeaks": tickers="SPY" data *<-* new.env() getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T) p=findPeaks(data$SPY[, 6], 5) plot(data$SPY[, 6], type="l") points(p, data$SPY[, 6][p]) My goal is to implement a trailing-stop on a buy-and-hold strategy using findPeaks... I wanted to detect whenever SPY falls 5 points from the local peak... The above example failed in finding the peaks (p == NULL). Am I missing anything here? Thanks a lot! ? ? ? ?[[alternative HTML version deleted]]
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On Thu, Feb 9, 2012 at 9:00 PM, R. Michael Weylandt
<michael.weylandt at gmail.com> wrote:
It looks like you need to wrap coredata() because some funny arithmetic is happening when the xts-ness is preserved. e.g. findPeaks(coredata(Ad(SPY)), 5) But this is perhaps a less-than-desirable feature. I'll patch it and send it to Josh.
Proper procedure is indeed to blame Josh for all undesirable functionality, even in code he didn't write ;-) Patched in R-forge rev 577. Thanks. Jeff
Michael On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
?Hi all, I am having trouble using the function "findPeaks": tickers="SPY" data *<-* new.env() getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T) p=findPeaks(data$SPY[, 6], 5) plot(data$SPY[, 6], type="l") points(p, data$SPY[, 6][p]) My goal is to implement a trailing-stop on a buy-and-hold strategy using findPeaks... I wanted to detect whenever SPY falls 5 points from the local peak... The above example failed in finding the peaks (p == NULL). Am I missing anything here? Thanks a lot! ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
Happy to follow procedure. Thanks for jumping on it so quickly. Michael Weylandt
On Thu, Feb 9, 2012 at 10:40 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
On Thu, Feb 9, 2012 at 9:00 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
It looks like you need to wrap coredata() because some funny arithmetic is happening when the xts-ness is preserved. e.g. findPeaks(coredata(Ad(SPY)), 5) But this is perhaps a less-than-desirable feature. I'll patch it and send it to Josh.
Proper procedure is indeed to blame Josh for all undesirable functionality, even in code he didn't write ;-) Patched in R-forge rev 577. Thanks. Jeff
Michael On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
?Hi all, I am having trouble using the function "findPeaks": tickers="SPY" data *<-* new.env() getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T) p=findPeaks(data$SPY[, 6], 5) plot(data$SPY[, 6], type="l") points(p, data$SPY[, 6][p]) My goal is to implement a trailing-stop on a buy-and-hold strategy using findPeaks... I wanted to detect whenever SPY falls 5 points from the local peak... The above example failed in finding the peaks (p == NULL). Am I missing anything here? Thanks a lot! ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
6 days later
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You'll get more if you lower your threshold value (the 5) Michael
On Thu, Feb 16, 2012 at 10:13 AM, Luna <lunamoonmoon at gmail.com> wrote:
Hi friends, Thanks for your help! I just did a new test: aa=100:1 bb=sin(aa/3) cc=aa*bb plot(cc, type="l") p=findPeaks(cc, 5) points(p, cc[p]) points(p, cc[p])
p [1] 3 22 41 It only picks up 3 peaks, which is obviously wrong, am I correct? Thanks a lot! On Thu, Feb 9, 2012 at 9:55 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
Happy to follow procedure. Thanks for jumping on it so quickly. Michael Weylandt On Thu, Feb 9, 2012 at 10:40 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
On Thu, Feb 9, 2012 at 9:00 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
It looks like you need to wrap coredata() because some funny arithmetic is happening when the xts-ness is preserved. e.g. findPeaks(coredata(Ad(SPY)), 5) But this is perhaps a less-than-desirable feature. I'll patch it and send it to Josh.
Proper procedure is indeed to blame Josh for all undesirable functionality, even in code he didn't write ;-) Patched in R-forge rev 577. Thanks. Jeff
Michael On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
?Hi all, I am having trouble using the function "findPeaks": tickers="SPY" data *<-* new.env() getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T) p=findPeaks(data$SPY[, 6], 5) plot(data$SPY[, 6], type="l") points(p, data$SPY[, 6][p]) My goal is to implement a trailing-stop on a buy-and-hold strategy using findPeaks... I wanted to detect whenever SPY falls 5 points from the local peak... The above example failed in finding the peaks (p == NULL). Am I missing anything here? Thanks a lot! ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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No....perhaps you misunderstand what the "threshold" means? It means the point of interest has to be x greater than its neighbor, not the amount by which it has to exceed the valley. If you look in the neighborhood of ~55:65 (the "next peak" on your graph) you'll see no point is that far above its predecessor so there's no peak (so to speak). Type findPeaks without parentheses and try to understand the code used and the implicit definition of what a peak is. There's also a lag convention you should be aware of. What do you mean you cannot change the number 5? Michael
On Thu, Feb 16, 2012 at 10:18 AM, Luna <lunamoonmoon at gmail.com> wrote:
But using my eye from the plot it should have more local peaks?even with tolerance 5... no? I cannot change the number 5.... On Thu, Feb 16, 2012 at 9:17 AM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
You'll get more if you lower your threshold value (the 5) Michael On Thu, Feb 16, 2012 at 10:13 AM, Luna <lunamoonmoon at gmail.com> wrote:
Hi friends, Thanks for your help! I just did a new test: aa=100:1 bb=sin(aa/3) cc=aa*bb plot(cc, type="l") p=findPeaks(cc, 5) points(p, cc[p]) points(p, cc[p])
p [1] 3 22 41 It only picks up 3 peaks, which is obviously wrong, am I correct? Thanks a lot! On Thu, Feb 9, 2012 at 9:55 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
Happy to follow procedure. Thanks for jumping on it so quickly. Michael Weylandt On Thu, Feb 9, 2012 at 10:40 PM, Jeffrey Ryan <jeffrey.ryan at lemnica.com> wrote:
On Thu, Feb 9, 2012 at 9:00 PM, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
It looks like you need to wrap coredata() because some funny arithmetic is happening when the xts-ness is preserved. e.g. findPeaks(coredata(Ad(SPY)), 5) But this is perhaps a less-than-desirable feature. I'll patch it and send it to Josh.
Proper procedure is indeed to blame Josh for all undesirable functionality, even in code he didn't write ;-) Patched in R-forge rev 577. Thanks. Jeff
Michael On Thu, Feb 9, 2012 at 9:56 PM, Michael <comtech.usa at gmail.com> wrote:
?Hi all, I am having trouble using the function "findPeaks": tickers="SPY" data *<-* new.env() getSymbols(tickers, src = 'yahoo', from = '1970-01-01', env = data, auto.assign = T) p=findPeaks(data$SPY[, 6], 5) plot(data$SPY[, 6], type="l") points(p, data$SPY[, 6][p]) My goal is to implement a trailing-stop on a buy-and-hold strategy using findPeaks... I wanted to detect whenever SPY falls 5 points from the local peak... The above example failed in finding the peaks (p == NULL). Am I missing anything here? Thanks a lot! ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
-- Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com R/Finance 2012: Applied Finance with R www.RinFinance.com See you in Chicago!!!!
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.