TTR_0.2 on CRAN

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.

NEW FEATURES:

  • 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()

CHANGES:

  • 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.

BUG FIXES:

  • 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.