R Keltner频道

Question

是否有任何已经实施Keltner频道的R套餐，我想知道的是每日收盘价位于哪个频道（-3，-2，-1,1,2,3）

我在TTR中找到了ATR功能，但我不确定是否有办法使用它，我想要的是类似于链接所描述的内容，我只需要值，而不是图形，所以我可以将每日收盘价与渠道进行比较

Keltner Channels : StockCharts.com

Keltner Channels

任何指导我正确方向的帮助表示赞赏

Answer 1

这种模板代码将帮助您获得您特别想要的内容。选择你自己的n值等。

library(quantmod)
getSymbols("AAPL")

get_Keltner_channels <- function(ohlc, n_EMA = 10, n_ATR = 14, multiplier = 2) {
    mid <- EMA(Cl(ohlc), n_EMA)    
    hi <- mid + multiplier * ATR(HLC = HLC(ohlc), n = n_ATR)$atr
    lo <- mid - multiplier * ATR(HLC = HLC(ohlc), n = n_ATR)$atr
    keltner <- cbind(lo, mid, hi)
    colnames(keltner) <- c("Kelt_lo", "Kelt_mid", "Kelt_hi")
    keltner
}

out <- get_Keltner_channels(AAPL)

# > tail(out)
# Kelt_lo Kelt_mid   Kelt_hi
# 2016-07-15 94.26621 97.09092  99.91563
# 2016-07-18 94.74742 97.58893 100.43045
# 2016-07-19 95.27084 98.00367 100.73651
# 2016-07-20 95.71888 98.35937 100.99986
# 2016-07-21 95.83500 98.55403 101.27306
# 2016-07-22 95.88848 98.57330 101.25811

Answer 2

KC <- function(x, n.ema = 20, n.atr = 10, multiplier = 2, maType='EMA') {
    x <- try.xts(x, error = as.matrix)
    ma <- do.call(what = maType, args = list(Cl(x), n.ema))
    atr <- ATR(HLC(x), n = n.atr, maType = maType)$atr
    upper <- ma + multiplier * atr
    lower <- ma - multiplier * atr
    r <- cbind(lower, ma, upper)
    colnames(r) <- c("KC.lower", "KC.mid", "KC.upper")
    return(reclass(r,x))
}

addKC <- newTA(FUN = KC, on = -1, col = rep('cornflowerblue', 3), lty = rep('dotted', 3))