5.8 TTR
We use ROC to compute ROC. The type can be either discrete or continuous.
roc <- ROC(Cl(AAPL),type="discrete",n=2)
tail(roc,n=3)
## AAPL.Close
## 2012-12-26 -0.012188826
## 2012-12-27 -0.009823658
## 2012-12-28 -0.006647189
5.8.1 Trading signal
Buy signal arises when ROC changes from negative to positive.
Sell signal arises when ROC changes from positive to negative.
5.8.2 Charting
chartSeries(AAPL,
subset='2007-05::2008-01',
theme=chartTheme('white'))
addROC(n=7)