Thursday, January 24, 2008

TTR version 0.14-0 on CRAN

The coolest change is the Fortran implementations of the running/rolling analysis and moving average functions. They are blistering fast: a 20-period SMA on 1 million observations takes about 30 seconds on my 2.8Ghz processor. I don't know if that calculation would even finish when written only in R code.

You can find the source/binaries here, or on your preferred CRAN mirror. Be sure to check out the charting capabilities in quantmod!

Here are the highlights of the new features:

  • Added Fortran implementations of all moving average functions
  • Added Fortran implementations of all running/rolling analysis functions, which include runSum, wilderSum, runMin, runMax, runMean, runCov, runCor, runVar, runSD, runMedian, and runMAD
  • Added of Stochastic Momentum Index and Williams' Accumulation/Distribution functions
  • Changed MA-type arguments for: RSI, ADX, ATR, CCI, DPO, EMV, RSI, BBands, chaikinVolatility, stoch, SMI, TRIX, MACD, and KST. This allows cleaner syntax when specifying moving averages.

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