FRAPO (version 0.4-2)

trdbilson: Bilson Trend

Description

Calculation of the Bilson Trend as a technical trading indicator.

Usage

trdbilson(y, exponent)

Value

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

Arguments

y

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

exponent

Numeric, the value for \(\alpha\) in the equation below.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the bilson trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

Author

Bernhard Pfaff

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)