TTR_0.21-0 on CRAN

September 01, 2011

An updated version of TTR is now on CRAN. It contains some much-needed bug fixes (most notably to stockSymbols()), some small changes, and a few new functions. Note that the change to wilderSum() will affect functions that use it (e.g. ADX()).

Here are the full contents of the CHANGES file:

TTR version 0.21-0
Changes from version 0.20-2
NEW FEATURES:
Added variable moving average function, VMA().
Added Brian Peterson’s price bands function, PBands().
Added David Varadi’s DVI() indicator, DVI().
CHANGES:
Added wilder and ratio arguments to DEMA(). Thanks to Matthew Fornari for the suggestion.
Changed wilderSum() to seed initial value with raw sum. This matches Wilder’s original calculations. Thanks to Mahesh Bp for the report.
The BBands() sd calculation now uses the population instead of sample statistic. This is consistent with Bollinger Band literature. Thanks to Jeff Ryan for the patch.
BUG FIXES:
Fixed stockSymbols() for nasdaq.com changes.
Fixed ZLEMA() default ratio by changing it from 2/(n-1) to 2/(n+1). This makes it consistent with EMA(). Thanks to Dirk Eddelbuettel.
Corrected close-to-close volatility. Thanks to James Toll for the report.
adjRatios() failed (spectacularly) if there were missing close prices. Thanks to Garrett See for the report.

I look forward to your questions and feedback! If you have a question, please ask on Stack Overflow and use the [r] and [ttr] tags. Or you can send an email to the R-SIG-Finance mailing list (you must subscribe to post). Open an issue on GitHub if you find a bug or want to request a feature. Please read the contributing guide first! It will help save time for both of us. ;-)

If you love using my open-source work (e.g. quantmod, TTR, xts, IBrokers, microbenchmark, blotter, quantstrat, etc.), you can give back by sponsoring me on GitHub. I truly appreciate anything you’re willing and able to give!