[R] Re: [R-sig-finance] Question about Exponential Weighted Moving Average (EWMA) in rmetrics.

[Diethelm Wuertz]

With the next release of  Rmetrics the help page will extended in the 
following way:

\item{lambda}{
        a numeric value between zero and one giving the decay length
        of the exponential moving average. If an integer value greater
        than one is given, lambda is used as a lag of  "n" periods to
        calculate the decay parameter.
        }

Please note that you will find much more (still undocumented) indicators 
in the
example file xmpTradingIndicators.R. These include.

#        accelTA
#        adiTA
#        adoscillatorTA
#        bollingerTA
#        chaikinoTA
#        chaikinvTA
#        garmanKlassTA
#        macdTA
#        medpriceTA
#        momentumTA
#        nviTA
#        obvTA
#        pviTA
#        pvtrendTA
#        rocTA
#        rsiTA
#        stochasticTA
#        typicalPriceTA
#        wcloseTA
#        williamsadTA
#        williamsrTA


If you have written functions for further trading indicators, please let 
me know, so
I can add them to Rmetrics.


Diethelm Wuertz.


German G. Creamer wrote:

>Please disregard the previous message. I realized that in the emaTA
>equation,
>a lambda greater than one is used as a lag of n periods to calculate the
>decay parameter. A lambda less than one is used directly as the decay
>parameter.
>
>So, the functions are consistent.
>
>Thanks anyway,
>
>German
>
>_______________________________________________
>R-sig-finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>
>  
>