TTR_0.2 on CRAN

February 15, 2009

(This article was first published on FOSS Trading, and kindly contributed to R-bloggers)

I am happy to announce a long-overdue update to the TTR package (version 0.2) is now on CRAN.

This update represents a major milestone, as TTR useRs are no longer restricted to using matrix objects. TTR 0.2 uses xts internally, so all major time series classes are now supported.


- Added the zig zag indicator: ZigZag()

- Added volatility estimators/indicators: volatility(), with the following calculations
- Close-to-Close
- Garman Klass
- Parkinson
- Rogers Satchell

- Added Money Flow Index: MFI()

- Added Donchian channel: DonchianChannel()


- All functions now use xts internally, adding support for all major time series classes. If try.xts() fails on the input object(s), they will be converted to a matrix and a matrix object will be returned.

- Added 'bounded' arg to stoch() and SMI(), which includes the current period in the calculation.

- Added naCheck() and implemented it in the moving average functions.

- Moved maType argument default values from function formals to function body for the following functions:
ADX, ATR, CCI, DPO, EMV, KST, MACD, RSI, TRIX, BBands, chaikinVolatility, stoch, SMI

- momentum() in CMO() no longer sets na=100

- Replaced 'na' argument in momentum() and ROC() with 'na.pad'

- Added 'multiple' argument to TDI(), allowing more user control

- getYahooData() now returns an xts object

- Added colnames to output for ADX, EMV, and CLV (for xts)

- Added unit tests using the RUnit package
- Used checkEquals on object attributes as well as values

- Removed .First.lib function and added .onLoad with package version.


- Corrected NaN replacement in CLV()

- Corrected williamsAD(): AD=0 if C(t)=C(t-1)

- Corrected runMedian() and runMAD(). The argument controlling which type of median to calculate for even-numbered samples wasn't being passed to the Fortran routine.

- aroon() calculation starts at period n+1, instead of n

- Added NA to first element of closeLag of ATR()

- Corrected BBands() and CCI() for rowMeans use on xts objects

- Made changes to Rd files to pass R CMD check on R-devel (2.9.0)

Please do contact me with any questions, concerns, bug reports, etc.

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