FRAPO (version 0.4-2)

trdbinary: Binary Trend

Description

Calculation of the Binary Trend as a technical trading indicator.

Usage

trdbinary(y)

Value

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

Arguments

y

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

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

y = "xts"

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

y = "zoo"

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

Author

Bernhard Pfaff

Details

The Binary trend is calculated according to the formula: $$ z = sign(y) \times \min(|4 / \pi \arctan(y)|, 1) $$

See Also

trdbilson, trdes, trdhp, trdsma, trdwma, capser

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
yret <- diff(log(y))
binary <- trdbinary(yret)
head(binary)