FRAPO (version 0.3-7)

trdbilson: Bilson Trend

Description

Calculation of the Bilson Trend as a technical trading indicator.

Usage

trdbilson(y, exponent)

Arguments

y

Objects of classes: numeric, matrix, data.frame, ts, mts, timeSeries, zoo and xts are supported.

exponent

Numeric, the value for $\alpha$ in the equation below.

Value

• An object of the same class as y, containing the computed Bilson trend values.

concept

• Bilson
• Trend
• Bilson Trend

Details

The Bilson trend is calculated according to the formula: $$z = sign(y) \times |y|^{(1 - |y|^\alpha)}$$

See Also

trdbinary, trdes, trdhp, trdsma, trdwma, capser

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
bilson <- trdbilson(yret, exponent = 2)
head(bilson)