stochastics: Stochastic Oscillator / Stochastic Momentum Index

Description

The stochastic oscillator is a momentum indicator that relates the location of each day's close relative to the high/low range over the past n periods. Developed by George C. Lane in the late 1950s. The SMI relates the close to the midpoint of the high/low range. Developed by William Blau in 1993.

Usage

stoch(HLC, nFastK=14, nFastD=3, nSlowD=3, maType="SMA", ...)
  SMI(HLC, n=13, nFast=2, nSlow=25, nSig=9, maType="EMA", ...)

Arguments

HLC

High-Low-Close price series to use. If only a univariate series is given, it will be used. See details.

Number of periods to use.

nFastK

Number of periods for fast %K (i.e. the number of past periods to use).

nFastD

Number of periods for fast %D (i.e. the number smoothing periods to apply to fast %K).

nSlowD

Number of periods for slow %D (i.e. the number smoothing periods to apply to fast %D).

nFast

Number of periods for initial smoothing.

nSlow

Number of periods for double smoothing.

nSig

Number of periods for signal line.

maType

Either: (1) A function or a string naming the function to be called, or (2) a list with the first component like (1) above, and additional parameters specified as named components. See Examples.

...

Other arguments to be passed to the maType function in case (1) above.

Value

A matrix containing the columns:
fastKStochastic Fast %K
fastDStochastic Fast %D
slowDStochastic Slow %D
SMIStochastic Momentum Index
signalStochastic Momentum Index signal line

Details

If a High-Low-Close series is provided, the indicator is calculated using the high/low values. If a vector is provided, the calculation only uses that series. This allows stochastics to be calculated for: (1) series that have no HLC definition (e.g. foreign exchange), and (2) stochastic indicators (e.g. stochastic RSI - see examples).

References

The following site(s) were used to code/document these indicators: Stochastic Oscillator: http://www.fmlabs.com/reference/StochasticOscillator.htm http://www.equis.com/Customer/Resources/TAAZ?c=3&p=106 http://linnsoft.com/tour/techind/stoc.htm http://stockcharts.com/education/IndicatorAnalysis/indic_stochasticOscillator.html SMI: http://www.fmlabs.com/reference/default.htm?url=SMI.htm

Examples

Run this code

data(ttrc)
  stochOSC <- stoch(ttrc[,c("High","Low","Close")])
  stochWPR <- WPR(ttrc[,c("High","Low","Close")])

  plot(tail(stochOSC[,"fastK"], 100), type="l",
      main="Fast %K and Williams %R", ylab="",
      ylim=range(cbind(stochOSC, stochWPR), na.rm=TRUE) )
  lines(tail(stochWPR, 100), col="blue")
  lines(tail(1-stochWPR, 100), col="red", lty="dashed")

  stochRSI <- stoch( RSI(ttrc[,"Close"]) )

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