Package ‘quantmod’
July 24, 2015
Type Package
Title Quantitative Financial Modelling Framework
Version 0.4-5
Date 2015-07-23
Depends xts(>= 0.9-0), zoo, TTR(>= 0.2), methods
Suggests DBI,RMySQL,RSQLite,timeSeries,its,XML,downloader
Description Specify, build, trade, and analyse quantitative financial trading strategies.
LazyLoad yes
License GPL-3
URL http://www.quantmod.com https://github.com/joshuaulrich/quantmod
BugReports https://github.com/joshuaulrich/quantmod/issues
NeedsCompilation yes
Author Jeffrey A. Ryan [aut, cph],
Joshua M. Ulrich [cre, ctb],
Wouter Thielen [ctb]
Maintainer Joshua M. Ulrich
Repository CRAN
Date/Publication 2015-07-24 21:10:42

R topics documented: quantmod-package addADX . . . . . . addBBands . . . . addCCI . . . . . . addExpiry . . . . . addMA . . . . . . addMACD . . . . . addROC . . . . . . addRSI . . . . . .

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
1

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.

. 3
. 4
. 5
. 6
. 7
. 8
. 9
. 10
. 11

R topics documented:

2 addSAR . . . . . . . . addSMI . . . . . . . . addVo . . . . . . . . . addWPR . . . . . . . . adjustOHLC . . . . . . attachSymbols . . . . . buildData . . . . . . . buildModel . . . . . . chartSeries . . . . . . . chartTheme . . . . . . chart_Series . . . . . . chob-class . . . . . . . chobTA-class . . . . . create.binding . . . . .
Defaults . . . . . . . .
Delt . . . . . . . . . . findPeaks . . . . . . . fittedModel . . . . . . getDividends . . . . . getFinancials . . . . . getFX . . . . . . . . . getMetals . . . . . . . getModelData . . . . . getOptionChain . . . . getQuote . . . . . . . . getSplits . . . . . . . . getSymbols . . . . . . getSymbols.csv . . . . getSymbols.FRED . . getSymbols.google . . getSymbols.MySQL . getSymbols.oanda . . . getSymbols.rda . . . . getSymbols.SQLite . . getSymbols.yahoo . . . getSymbols.yahooj . . has.OHLC . . . . . . . internal-quantmod . . . is.quantmod . . . . . .
Lag . . . . . . . . . . modelData . . . . . . . modelSignal . . . . . . newTA . . . . . . . . .
Next . . . . . . . . . .
OHLC.Transformations
options.expiry . . . . . periodReturn . . . . . quantmod-class . . . .

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.

12
13
14
15
16
17
19
21
22
25
27
28
29
30
31
33
34
35
37
39
40
42
43
44
45
47
48
52
53
55
57
59
61
62
64
66
68
69
70
70
72
73
73
77
78
80
81
83

quantmod-package

3

quantmod.OHLC saveChart . . . . setSymbolLookup setTA . . . . . . specifyModel . .
TA . . . . . . . . tradeModel . . . zoomChart . . . .

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

Index

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

.
.
.
.
.
.
.
.

85
86
87
89
90
92
94
95
97

quantmod-package

Quantitative Financial Modelling Framework

Description
Quantitative Financial Modelling and Trading Framework for R
Details
Package:
Type:
Version:
Date:
Depends:
Suggests:
LazyLoad:
License:
URL:
URL:

quantmod
Package
0.4-4
2015-03-08
xts(>= 0.9-0),zoo,TTR(>= 0.2),methods
DBI,RMySQL,RSQLite,timeSeries,its,XML
yes
GPL-3
http://www.quantmod.com http://quantmod.r-forge.r-project.org The quantmod package for R is designed to assist the quantitative trader in the development, testing, and deployment of statistically based trading models.
What quantmod IS
A rapid prototyping environment, with comprehensive tools for data management and visualization. where quant traders can quickly and cleanly explore and build trading models.
What quantmod is NOT
A replacement for anything statistical. It has no ’new’ modelling routines or analysis tool to speak of. It does now offer charting not currently available elsewhere in R, but most everything else is more of a wrapper to what you already know and love about the langauge and packages you currently use. quantmod makes modelling easier by removing the repetitive workflow issues surrounding data management, modelling interfaces, and performance analysis.

4

addADX

Author(s)
Jeffrey A. Ryan
Maintainer: Joshua M. Ulrich

addADX

Add Directional Movement Index

Description
Add Directional Movement Index
Usage
addADX(n = 14, maType="EMA", wilder=TRUE)
Arguments
n

periods to use for DX calculation

maType

moving average type

wilder

should Welles Wilder EMA be used?

Details
See ’ADX’ in TTR for specific details and references.
Value
An ADX indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see ADX in TTR written by Josh Ulrich
See Also addTA Examples
## Not run: addADX() ## End(Not run)

addBBands

addBBands

5

Add Bollinger Bands to Chart

Description
Add Bollinger Bands to current chart.
Usage
addBBands(n = 20, sd = 2, maType = "SMA", draw =

bands , on = -1)

Arguments n number of moving average periods

maType

type of moving average to be used

sd

number of standard deviations

draw

indicator to draw: bands, percent, or width

on

which figure area of chart to apply to

Details
The primary addition to this function call over the TTR version is in the draw argument. ‘bands’ will draw standard Bollinger Bands, ‘percent’ will draw Bollinger %b and ‘width’ will draw Bolinger
Bands Width. The last two will be drawn in new figure regions.
See bollingerBands in TTR for specific details as to implementation and references.
Value
Bollinger Bands will be drawn, or scheduled to be drawn, on the current chart. If draw is either percent or width a new figure will be added to the current TA figures charted.
A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
See bollingerBands in TTR written by Josh Ulrich
See Also addTA 6

addCCI

Examples
## Not run: addBBands() ## End(Not run)

addCCI

Add Commodity Channel Index

Description
Add Commodity Channel Index
Usage
addCCI(n = 20, maType="SMA", c=0.015)
Arguments
n

periods to use for DX calculation

maType

moving average type

c

Constant to apply to the mean deviation.

Details
See ’CCI’ in TTR for specific details and references.
Value
An CCI indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see CCI in TTR written by Josh Ulrich
See Also addTA addExpiry

7

Examples
## Not run: addCCI() ## End(Not run)

addExpiry

Add Contract Expiration Bars to Chart

Description
Apply options or futures expiration vertical bars to current chart.
Usage
addExpiry(type = "options", lty = "dotted")
Arguments
type

options or futures expiration

lty

type of lines to draw

Details
See options.expiry and futures.expiry in quantmod for details and limitations.
Value
Expiration lines will be drawn at appropriate dates. A chibTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
See Also addTA Examples
## Not run: addExpiry() ## End(Not run)

8

addMA

addMA

Add Moving Average to Chart

Description
Add one or more moving averages to a chart.
Usage
addSMA(n = 10, on = 1, with.col = Cl, overlay = TRUE, col = "brown") addEMA(n = 10, wilder = FALSE, ratio=NULL, on = 1, with.col = Cl, overlay = TRUE, col = "blue") addWMA(n = 10, wts=1:n, on = 1, with.col = Cl, overlay = TRUE, col = "green") addDEMA(n = 10, on = 1, with.col = Cl, overlay = TRUE, col = "pink") addEVWMA(n = 10, on = 1, with.col = Cl, overlay = TRUE, col = "yellow") addZLEMA(n = 10, ratio=NULL, on = 1, with.col = Cl, overlay = TRUE, col = "red")
Arguments
n

periods to average over

wilder

logical; use wilder?

wts

a vector of weights

ratio

a smoothing/decay ratio

on

apply to which figure (see below)

with.col

using which column of data (see below)

overlay

draw as overlay

col

color of MA

Details see the appropriate base MA functions in TTR for more details and references.
Value
A moving average indicator will be draw on the current chart. A chobTA object will be returned silently. Author(s)
Jeffrey A. Ryan

addMACD

9

References see MovingAverages in TTR written by Josh Ulrich
See Also addTA Examples
## Not run: addSMA() addEMA() addWMA() addDEMA() addEVWMA() addZLEMA()
## End(Not run)

addMACD

Add Moving Average Convergence Divergence to Chart

Description
Add Moving Average Convergence Divergence indicator to chart.
Usage
addMACD(fast = 12, slow = 26, signal = 9, type = "EMA", histogram = TRUE, col)
Arguments
fast

fast period

slow

slow period

signal

signal period

type

type of MA to use. Single values will be replicated

histogram

include histogram

col

colors to use for lines (optional)

Details
See and ’MACD’ in TTR for specific details and implementation references.
Value
A MACD indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.

10

addROC

Author(s)
Jeffrey A. Ryan
References
see MACD in TTR written by Josh Ulrich
See Also addTA Examples
## Not run: addMACD() ## End(Not run)

addROC

Add Rate Of Change to Chart

Description
Add Rate Of Change indicator to chart.
Usage
addROC(n = 1, type = c("discrete", "continuous"), col = "red")
Arguments
n

periods

type

compounding type

col

line color (optional)

Details
See ’ROC’ in TTR for specific details and references.
Value
A ROC indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan

addRSI

11

References see ROC in TTR written by Josh Ulrich
See Also addTA Examples
## Not run: addROC() ## End(Not run)

addRSI

Add Relative Strength Index to Chart

Description
Add a Relative Strength Index indicator to chart.
Usage
addRSI(n = 14, maType = "EMA", wilder = TRUE)
Arguments
n

periods

maType

type of MA to use

wilder

use wilder (see EMA)

Details see ’RSI’ in TTR for specific details and references.
Value
An RSI indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see RSI in TTR written by Josh Ulrich

12

addSAR

See Also addTA Examples
## Not run: addRSI() ## End(Not run)

addSAR

Add Parabolic Stop and Reversal to Chart

Description
Add Parabolic Stop and Reversal indicator overlay to chart.
Usage
addSAR(accel = c(0.02, 0.2), col = "blue")
Arguments
accel

Accelleration factors - see SAR

col

color of points (optional)

Details see ’SAR’ in TTR for specific details and references.
Value
A SAR overlay will be drawn on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see SAR in TTR written by Josh Ulrich
See Also addTA addSMI

13

Examples
## Not run: addSAR() ## End(Not run)

addSMI

Add Stochastic Momentum Indicator to Chart

Description
Add Stochastic Momentum Indicator to chart.
Usage
addSMI(n=13,slow=25,fast=2,signal=9,ma.type="EMA")
Arguments
n

periods

slow

slow

fast

fast

signal

signal

ma.type

MA tyep to use, recycled as necessary

Details see ’SMI in TTR for specifics and references.
Value
An SMI indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see SMI in TTR written by Josh Ulrich
See Also addTA 14

addVo

Examples
## Not run: addSMI() ## End(Not run)

addVo

Add Volume to Chart

Description
Add Volume of a series, if available, to the current chart. This is the default TA argument for all charting functions.
Usage
addVo(log.scale=FALSE)
Arguments
log.scale

use log-scale for volume

Details
Add volume bars to current chart if data object contains appropriate volume column. log.scale will transform the series via standard R graphics mechanisms.
Value
Volume will be draw in a new window on the current chart. A chobTA object will be returned silently. Author(s)
Jeffrey A. Ryan
See Also addTA Examples
## Not run: addVo() ## End(Not run)

addWPR

15

addWPR

Add William’s Percent R to Chart

Description
Add William’s percent R indiator to the current chart.
Usage
addWPR(n = 14)
Arguments
n

periods

Details see ’WPR’ in TTR for details and references.
Value
A William’s percent R indicator will be draw in a new window on the current chart. A chobTA object will be returned silently.
Author(s)
Jeffrey A. Ryan
References
see ’WPR’ in TTR written by Josh Ulrich
See Also addTA Examples
## Not run: addWPR() ## End(Not run)

16

adjustOHLC

adjustOHLC

Adjust Open,High,Low,Close Prices For Splits and Dividends

Description
Adjust all columns of an OHLC object for split and dividend.
Usage
adjustOHLC(x, adjust = c("split","dividend"), use.Adjusted = FALSE, ratio = NULL, symbol.name=deparse(substitute(x))) Arguments x An OHLC object

adjust

adjust by split, dividend, or both (default)

use.Adjusted

use the ‘Adjusted’ column in Yahoo! data to adjust

ratio

ratio to adjust with, bypassing internal calculations

symbol.name

used if x is not named the same as the symbol adjusting

Details
This function calculates the adjusted Open, High, Low, and Close prices according to split and dividend information.
There are three methods available to calculate the new OHLC object prices.
By default, getSplits and getDividends are called to retrieve the respective information. These may dispatch to custom methods following the “.” methodology used by quantmod dispatch.
See getSymbols for information related to extending quantmod. This information is passed to adjRatios from the TTR package, and the resulting ratio calculations are used to adjust to observed historical prices. This is the most precise way to adjust a series.
The second method works only on standard Yahoo! data containing an explicit Adjusted column.
A final method allows for one to pass a ratio into the function directly.
All methods proceed as follows:
New columns are derived by taking the ratio of adjusted value to original Close, and multiplying by the difference of the respective column and the original Close. This is then added to the modified
Close column to arrive at the remaining ‘adjusted’ Open, High, Low column values.
If no adjustment is needed, the function returns the original data unaltered.
Value
An object of the original class, with prices adjusted for splits and dividends.

attachSymbols

17

Warning
Using use.Adjusted = TRUE will be less precise than the method that employs actual split and dividend information. This is due to loss of precision from Yahoo! using Adjusted columns of only two decimal places. The advantage is that this can be run offline, and for short series or those with few adjustments the loss of precision will be small.
The resulting precision loss will be from row observation to row observation, as the calculation will be exact for intraday values.
Author(s)
Jeffrey A. Ryan
References
Yahoo Finance http://finance.yahoo.com
See Also getSymbols.yahoo getSplits getDividends
Examples
## Not run: getSymbols("AAPL", from="1990-01-01", src="yahoo") head(AAPL) head(AAPL.a Op[t] < Cl[t] and Op[t] > Cl[t-1]
• red => Op[t] > Cl[t] and Op[t] < Cl[t-1]
• black => Op[t] > Cl[t] and Op[t] > Cl[t-1] reChart takes any number of arguments from the original chart call — and redraws the chart with the updated parameters. One item of note: if multiple color bars/candles are desired, it is necessary to respecify the theme argument. Additionally it is not possible to change TA parameters at present.
This must be done with addTA/dropTA/swapTA/moveTA commands.

Value
Returns a standard chart plus volume, if available, suitably scaled.
If plot=FALSE a chob object will be returned.
Note
Most details can be fine-tuned within the function, though the code does a reasonable job of scaling and labelling axes for the user.
The current implementation maintains a record of actions carried out for any particular chart. This is used to recreate the original when adding new indicator. A list of applied TA actions is available with a call to listTA. This list can be assigned to a variable and used in new chart calls to recreate a set of technical indicators. It is also possible to force all future charts to use the same indicators by calling setTA.
Additional motivation to add outlined candles to allow for scaling and advanced color coding is owed to Josh Ulrich, as are the base functions (from TTR) for the yet to be released technical analysis charting code.
Many improvements in the current version were the result of conversations with Gabor Grothendieck.
Many thanks to him.
Author(s)
Jeffrey A. Ryan
References
Josh Ulrich - TTR package and multi.col coding

chartTheme

25

See Also getSymbols, addTA, setTA, chartTheme
Examples
## Not run: getSymbols("YHOO") chartSeries(YHOO) chartSeries(YHOO, subset= last 4 months ) chartSeries(YHOO, subset= 2007::2008-01 ) chartSeries(YHOO,theme=chartTheme( white )) chartSeries(YHOO,TA=NULL) #no volume chartSeries(YHOO,TA=c(addVo(),addBBands())) addMACD()

#

#add volume and Bollinger Bands from TTR

add MACD indicator to current chart

setTA() chartSeries(YHOO) #draws chart again, this time will all indicators present

## End(Not run)

chartTheme

Create A Chart Theme

Description
Create a chart.theme object for use within chartSeries to manage desired chart colors.
Usage
chartTheme(theme = "black", ...)
Arguments
theme

name of base theme

...

name=value pairs to modify

Details
Used as an argument to the chartSeries family of functions, chartTheme allows for on-the-fly modification of pre-specified chart ‘themes’. Users can modify a pre-built theme in-place, or copy the theme to a new variable for use in subsequent charting calls.
Internally a chart.theme object is nothing more than a list of values organized by chart components.
The primary purpose of this is to facilitate minor modification on the fly, as well as provide a template for larger changes.
Setting style arguments for TA calls via chartTheme requires the user to pass the styles as name=value pairs with a name containing the TA call in question. See examples for assistance.
Current components that may be modified with appropriate values:

26

chartTheme
• fg.colforeground color
• bg.colbackground color
• grid.colgrid color
• borderborder color
• minor.tickminor tickmark color
• major.tickmajor tickmark color
• up.colup bar/candle color
• dn.coldown bar/candle color
• up.up.colup after up bar/candle color
• up.dn.colup after down bar/candle color
• dn.dn.coldown after down bar/candle color
• dn.up.coldown after up bar/candle color
• up.borderup bar/candle border color
• dn.borderdown bar/candle border color
• up.up.borderup after up bar/candle border color
• up.dn.borderup after down bar/candle border color
• dn.dn.borderdown after down bar/candle border color
• dn.up.borderdown after up bar/candle border color

Value
A chart.theme object
Author(s)
Jeffrey A. Ryan
See Also chartSeries Examples chartTheme() chartTheme( white ) chartTheme( white ,up.col= blue ,dn.col= red )
# A TA example chartTheme(addRSI.col= red ) str(chartTheme()) chart_Series

chart_Series

27

Experimental Charting Version 2

Description
These are experimental functions for a new version of chartSeries in quantmod. Interface, behavior, and functionality will change.
Usage
chart_Series(x, name = deparse(substitute(x)), type = "candlesticks", subset = "",
TA = "", pars = chart_pars(), theme = chart_theme(), clev = 0,
...)
Arguments x name type subset
TA
pars theme clev
...

time series object name for chart one of: an ISO8601 style character string indicating date range a character string of semi-colon seperated TA calls. chart parameters chart theme color level (experimental). Indicates the degree of brightness 0 is darkest color. additional parameters

Details
These functions, when complete, will revert back to the original chartSeries naming convention.
Value
Called for graphical side effects.
Note
Highly experimental (read: alpha) use with caution.
Author(s)
Jeffrey A. Ryan

28

chob-class

chob-class

A Chart Object Class

Description
Internal Objects for Tracking and Plotting Chart Changes
Objects from the Class
Objects are created internally through the charting functions chartSeries, barChart, lineChart, and candleChart.
Slots
device: Object of class "ANY" ~~ call: Object of class "call" ~~ xdata: Object of class "ANY" ~~ xsubset: Object of class "ANY" ~~ name: Object of class "character" ~~ type: Object of class "character" ~~ passed.args: Object of class "ANY" ~~ windows: Object of class "numeric" ~~ xrange: Object of class "numeric" ~~ yrange: Object of class "numeric" ~~ log.scale: Object of class "logical" ~~ length: Object of class "numeric" ~~ color.vol: Object of class "logical" ~~ multi.col: Object of class "logical" ~~ show.vol: Object of class "logical" ~~ show.grid: Object of class "logical" ~~ line.type: Object of class "character" ~~ bar.type: Object of class "character" ~~ xlab: Object of class "character" ~~ ylab: Object of class "character" ~~ spacing: Object of class "numeric" ~~ width: Object of class "numeric" ~~ bp: Object of class "numeric" ~~
x.labels: Object of class "character" ~~ colors: Object of class "ANY" ~~ layout: Object of class "ANY" ~~ time.scale: Object of class "ANY" ~~ major.ticks: Object of class "ANY" ~~ minor.ticks: Object of class "logical" ~~

chobTA-class

29

Methods
No methods defined with class "chob" in the signature.
Author(s)
Jeffrey A. Ryan
See Also chartSeries, or chobTA for links to other classes
Examples
showClass("chob")

chobTA-class

A Technical Analysis Chart Object

Description
Internal storage class for handling arbitrary TA objects
Objects from the Class
Objects of class chobTA are created and returned invisibly through calls to addTA-style functions.
Slots
call: Object of class "call" ~~ on: Object of class "ANY" ~~ new: Object of class "logical" ~~
TA.values: Object of class "ANY" ~~ name: Object of class "character" ~~ params: Object of class "ANY" ~~
Methods
show signature(object = "chobTA"): ...
Note
It is of no external vaule to handle chobTA objects directly
Author(s)
Jeffrey A. Ryan

30

create.binding

See Also addTA, ~~~ or chob for links to other classes
Examples
showClass("chobTA")

create.binding

Create DDB Bindings

Description
Internal function used in attachSymbols to create active bindings for symbols defined in a DDB object. Usage create.binding(s, lsym, rsym, gsrc, mem.cache = TRUE, file.cache = !mem.cache, cache.dir = tempdir(), envir,...) Arguments s symbol name

lsym

function to convert to local name (legal R name)

rsym

function to convert to remote name (source name)

gsrc

corresponds to ’src’ arg in getSymbols call

mem.cache

cache to memory

file.cache

cache to disk

cache.dir

directory to cache to/from

envir

environment name (character)

...

arguments to pass to getSymbols call

Details
Low level function to create bindings during initial demand-database construction.
Value
Called for its side effect of creating active bindings to symbols.

Defaults

31

Note
This is code used internally by attachSymbols. User’s may modify this to accomodate different systems. The upstream functions needn’t maintain consistency with this interface.
Use as a guide or template.
Author(s)
Jeffrey A. Ryan
References
Mark, Roger, ?

Defaults

Manage Default Argument Values for quantmod Functions

Description
Use globally specified defaults, if set, in place of formally specified default argument values. Allows user to specify function defaults different than formally supplied values, e.g. to change poorly performing defaults, or satisfy a different preference.
Usage
setDefaults(name, ...) unsetDefaults(name, confirm = TRUE) getDefaults(name = NULL, arg = NULL) importDefaults(calling.fun) Arguments name name of function, quoted or unquoted

...

name=value default pairs

confirm

prompt before unsetting defaults

arg

values to retrieve

calling.fun

name of function to act upon

Details setDefaults Provides a wrapper to R options that allows the user to specify any name=value pair for a function’s formal arguments. Only formal name=value pairs specified will be updated.
Values do not have to be respecified in subsequent calls to setDefaults, so it is possible to add new defaults for each function one at a time, without having to retype all previous values.
Assigning NULL to any argument will remove the argument from the defaults list. unsetDefaults Removes name=value pairs from the defaults list.

32

Defaults getDefaults Provides access to the stored user defaults. Single arguments need not be quoted, multiple arguments must be in a character vector. importDefaults A call to importDefaults should be placed on the first line in the body of the function. It checks the user’s environment for globally specified default values for the called function. These defaults can be specified by the user with a call to setDefaults, and will override any default formal parameters, in effect replacing the original defaults with user supplied values instead. Any user-specified values in the parent function (that is, the function containing importDefaults) will override the values set in the global default environment.

Value setDefaults None. Used for it’s side effect of setting a list of default arguments by function.

unsetDefaults

None. Used for it’s side effect of unsetting default arguments by function.

getDefaults

A named list of defaults and associated values, similar to formals, but only returning values set by setDefaults for the name function. Calling getDefaults()
(without arguments) returns in a character vector of all functions currently having defaults set (by setDefaults).
This does not imply that the returned function names are able to accept defaults
(via importDefaults), rather that they have been set to store user defaults. All values can also be viewed with a call to getOption(name_of_function.Default).

importDefaults None. Used for its side-effect of loading all non-NULL user- specified default values into the current function’s environment, effectively changing the default values passed in the parent function call. Like formally defined defaults in the function definition, default values set by importDefaults take lower precedence than arguments specified by the user in the function call.
Note
setDefaults At present it is not possible to specify NULL as a replacement for a non-NULL default, as the process interprets NULL values as being not set, and will simply use the value specified formally in the function. If NULL is what is desired, it is necessary to include this in the function call itself.
Any arguments included in the actual function call will take precedence over setDefaults values, as well as the standard formal function values. This conforms to the current user experience in R.
Like options, default settings are not kept across sessions. Currently, it is not possible to pass values for . . . arguments, only formally specified arguments in the original function definition. unsetDefaults unsetDefaults removes the all entries from the options lists for the specified function. To remove single function default values simply set the name of the argument to
NULL in setDefaults. importDefaults When a function implements importDefaults, non-named arguments may be ignored if a global default has been set (i.e. not NULL). If this is the case, simply name the arguments in the calling function.
This should also work for functions retrieving formal parameter values from options, as it assigns a value to the parameter in a way that looks like it was passed in the function call. So any check on options would presumably disregard importDefaults values if an argument was passed to the function.

Delt

33

Author(s)
Jeffrey A. Ryan
See Also options Examples
my.fun