TTR is an R package that provides the most popular technical analysis functions for financial market data. Many of these functions are used as components of systematic trading strategies and financial charts.
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The current release is available on CRAN, which you can install via:
To install the development version, you need to clone the repository and build from source, or run one of:
# lightweight
remotes::install_github("joshuaulrich/TTR")
# or
devtools::install_github("joshuaulrich/TTR")You will need tools to compile C, C++, and Fortran code. See the relevant appendix in the R Installation and Administration manual for your operating system:
Here are a few examples of some of the more well-known indicators:
# "TTR Composite" (simulated data)
data(ttrc)
# Bollinger Bands
bbands <- BBands( ttrc[,c("High","Low","Close")] )
# Directional Movement Index
adx <- ADX(ttrc[,c("High","Low","Close")])
# Moving Averages
ema <- EMA(ttrc[,"Close"], n=20)
sma <- SMA(ttrc[,"Close"], n=20)
# MACD
macd <- MACD( ttrc[,"Close"] )
# RSI
rsi <- RSI(ttrc[,"Close"])
# Stochastics
stochOsc <- stoch(ttrc[,c("High","Low","Close")])TTR works with the chartSeries() function in quantmod. Here’s an example that uses chartSeries() and adds TTR-calculated indicators and overlays to the chart.
# "TTR Composite" (simulated data)
data(ttrc)
# Use quantmod's OHLCV extractor function to help create an xts object
xttrc <- xts(OHLCV(ttrc), ttrc[["Date"]])
chartSeries(xttrc, subset = "2006-09/", theme = "white")
addBBands()
addRSI()Ask your question on Stack Overflow or the R-SIG-Finance mailing list (you must subscribe to post).
Please see the Contributing Guide.