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Interesting issue in MACD calculation
2 messages · Raghuraman Ramachandran, Joshua Ulrich
On Sun, Jul 8, 2012 at 5:35 PM, Raghuraman Ramachandran
<optionsraghu at gmail.com> wrote:
Dear guRus A very simple issue that I thought I will bring to your notice. I have a dataframe called testdata: str(testdata) 'data.frame': 748 obs. of 5 variables: $ Date : Date, format: "2009-07-13" "2009-07-14" ... $ Open : num 750 760 793 810 794 ... $ High : num 764 802 811 832 821 ... $ Low : num 725 760 792 786 790 ... $ Close: num 758 790 807 795 811 ... When I calculate MACD using the TTR on the closes I get a value which is different from what I get when I convert the same object into XTS. (-2.33 when a simple dataframe and 4.82 for xts). I am using percent=FALSE in both cases.
It is extremely difficult to help diagnose odd results like this without a minimal reproducible example. See this question on Stack Overflow for instructions to create a minimal reproducible example: http://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example
To get to the root of the issue I tried an excel run of the same and to my surprise my MACD using Excel is different. Wondering which is the truth! Intuitively I think the xts result is correct. I even tried doing an EMA12-EMA26 on the non-xts and still got the different answer of -2.33. I was thinking I will attach the excel here but not sure if its an allowable conduct in a large forum.
This is an R forum, so please do not attach an Excel file.
Thx for looking
Raghu
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Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com