An updated version of TTR is now on CRAN. The biggest changes to be aware of are that all moving averages attempt to set colnames, CCI retuns an object with colnames, and the initial gap for SAR is not hard-coded at 0.01. There are also some much-needed bug fixes - most notably to Yang Zhang volatility, MACD, SAR, EMA/EVWMA, and adjRatios.
There are some exciting new features, including a rolling single-factor model function (rollSFM, based on a prototype from James Toll), a runPercentRank function from Charlie Friedemann, stoch and WPR return 0.5 instead of NaN when there’s insufficient price movement, and a faster aroon function.
Here are all of the updates (from the CHANGES file):
#-#-#-#-#-#-#-#-#-# Changes in TTR version 0.22-0 #-#-#-#-#-#-#-#-#-#
SIGNIFICANT USER-VISIBLE CHANGES
- CCI now returns an object with colnames (“cci”).
- All moving average functions now attempt to set colnames.
- Added clarification on the displaced nature of DPO.
- SAR now sets the initial gap based on the standard deviation of the high-low range instead of hard-coding it at 0.01.
- Added rollSFM function that calculates alpha, beta, and R-squared for a single-factor model, thanks to James Toll for the prototype.
- Added runPercentRank function, thanks to Charlie Friedemann.
- Moved slowest portion of aroon to C.
- DonchianChannel gains an ‘include.lag=FALSE’ argument, which includes the current period’s data in the calculation. Setting it to TRUE replicates the original calculation. Thanks to Garrett See and John Bollinger.
- The Stochastic Oscillator and Williams’ %R now return 0.5 (instead of NaN) when a securities’ price doesn’t change over a sufficient period.
- All moving average functions gain ‘…'.
- Users can now change alpha in Yang Zhang volatility calculation.
- Fixed MACD when maType is a list. Now mavg.slow=maType[] and mavg.fast=maType[], as users expected based on the order of the nFast and nSlow arguments. Thanks to Phani Nukala and Jonathan Roy.
- Fixed bug in lags function, thanks to Michael Weylandt.
- Corrected error in Yang Zhang volatility calculation, thanks to several people for identifying this error.
- Correction to SAR extreme point calculations, thanks to Vamsi Galigutta.
- adjRatios now ensures all inputs are univariate, thanks to Garrett See.
- EMA and EVWMA now ensure n < number of non-NA values, thanks to Roger Bos.
- Fix to BBands docs, thanks to Evelyn Mitchell.