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shikokuchuo committed Oct 24, 2023
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2 changes: 1 addition & 1 deletion DESCRIPTION
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Package: ichimoku
Type: Package
Title: Visualization and Tools for Ichimoku Kinko Hyo Strategies
Version: 1.4.9
Version: 1.4.9.9000
Description: An implementation of 'Ichimoku Kinko Hyo', also commonly known as
'cloud charts'. Static and interactive visualizations with tools for
creating, backtesting and development of quantitative 'ichimoku' strategies.
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2 changes: 2 additions & 0 deletions NEWS.md
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# ichimoku 1.4.9.9000 (development)

# ichimoku 1.4.9

* Internal performance enhancements.
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12 changes: 6 additions & 6 deletions R/data.R
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#'
#' @format A data frame with 256 observations of 6 variables:
#' \itemize{
#' \item{time}{ - timestamp of observation [POSIXct]}
#' \item{open}{ - opening price [numeric]}
#' \item{low}{ - low price [numeric]}
#' \item{high}{ - high price [numeric]}
#' \item{close}{ - closing price [numeric]}
#' \item{volume}{ - volume [integer]}
#' \item time - timestamp of observation [POSIXct]
#' \item open - opening price [numeric]
#' \item low - low price [numeric]
#' \item high - high price [numeric]
#' \item close - closing price [numeric]
#' \item volume - volume [integer]
#' }
#'
#' @usage sample_ohlc_data
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52 changes: 26 additions & 26 deletions R/ichimoku-package.R
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#' @section Principal ichimoku functions:
#' Data & Visualization
#' \itemize{
#' \item{\code{\link{ichimoku}}} {to create an ichimoku object from price
#' data.}
#' \item{\code{\link{plot.ichimoku}} / \code{\link{iplot}}} {to plot
#' (interactive) cloud charts from ichimoku objects.}
#' \item{\code{\link{archive}}} {for reading/writing objects to/from archive
#' files with data verification.}
#' \item{\code{\link{oanda}}} {to retrieve price data from the OANDA fxTrade
#' API.}
#' \item \code{\link{ichimoku}} to create an ichimoku object from price
#' data.
#' \item \code{\link{plot.ichimoku}} / \code{\link{iplot}} to plot
#' (interactive) cloud charts from ichimoku objects.
#' \item \code{\link{archive}} for reading/writing objects to/from archive
#' files with data verification.
#' \item \code{\link{oanda}} to retrieve price data from the OANDA fxTrade
#' API.
#' }
#' Strategies & ML
#' \itemize{
#' \item{\code{\link{strat}}} {to augment an ichimoku object with a strategy,
#' including combined and asymmetric strategies.}
#' \item{\code{\link{autostrat}}} {to automatically evaluate and rank
#' top-performing strategies.}
#' \item{\code{\link{mlgrid}}} {to generate a numeric representation of the
#' ichimoku cloud chart.}
#' \item{\code{\link{relative}}} {to produce a statistical summary of the
#' latest ichimoku numeric representation relative to historical values.}
#' \item \code{\link{strat}} to augment an ichimoku object with a strategy,
#' including combined and asymmetric strategies.
#' \item \code{\link{autostrat}} to automatically evaluate and rank
#' top-performing strategies.
#' \item \code{\link{mlgrid}} to generate a numeric representation of the
#' ichimoku cloud chart.
#' \item \code{\link{relative}} to produce a statistical summary of the
#' latest ichimoku numeric representation relative to historical values.
#' }
#' Real-time
#' \itemize{
#' \item{\code{\link{oanda_chart}}} {to plot real-time ichimoku cloud charts
#' using OANDA data.}
#' \item{\code{\link{oanda_studio}}} {a complete live analysis environment
#' using OANDA data implemented in R Shiny.}
#' \item{\code{\link{oanda_stream}} / \code{\link{oanda_quote}}} {to obtain
#' the latest live data stream / quote from the OANDA fxTrade API.}
#' \item{\code{\link{oanda_view}}} {for a market overview showing the
#' relative performance of constituents.}
#' \item{\code{\link{oanda_orders}} / \code{\link{oanda_positions}}} {to
#' retrieve the aggregate OANDA fxTrade order / position book.}
#' \item \code{\link{oanda_chart}} to plot real-time ichimoku cloud charts
#' using OANDA data.
#' \item \code{\link{oanda_studio}} a complete live analysis environment
#' using OANDA data implemented in R Shiny.
#' \item \code{\link{oanda_stream}} / \code{\link{oanda_quote}} to obtain
#' the latest live data stream / quote from the OANDA fxTrade API.
#' \item \code{\link{oanda_view}} for a market overview showing the
#' relative performance of constituents.
#' \item \code{\link{oanda_orders}} / \code{\link{oanda_positions}} to
#' retrieve the aggregate OANDA fxTrade order / position book.
#' }
#'
#' @encoding UTF-8
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36 changes: 18 additions & 18 deletions R/ichimoku.R
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#'
#' Index:
#' \itemize{
#' \item{\code{index(object)}:} {date-time index [POSIXct]}
#' \item \code{index(object)}: date-time index [POSIXct]
#' }
#' Columns [numeric]:
#' \itemize{
#' \item{\code{object$open}:} {opening price}
#' \item{\code{$high}:} {high price}
#' \item{\code{$low}:} {low price}
#' \item{\code{$close}:} {closing price}
#' \item{\code{$cd}:} {candle direction (-1 = down, 0 = flat, 1 = up)}
#' \item{\code{$tenkan}:} {Tenkan-sen}
#' \item{\code{$kijun}:} {Kijun-sen}
#' \item{\code{$senkouA}:} {Senkou span A}
#' \item{\code{$senkouB}:} {Senkou span B}
#' \item{\code{$chikou}:} {Chikou span}
#' \item{\code{$cloudT}:} {cloud Top (max of senkouA, senkouB)}
#' \item{\code{$cloudB}:} {cloud Base (min of senkouA, senkouB)}
#' \item \code{object$open}: opening price
#' \item \code{$high}: high price
#' \item \code{$low}: low price
#' \item \code{$close}: closing price
#' \item \code{$cd}: candle direction (-1 = down, 0 = flat, 1 = up)
#' \item \code{$tenkan}: Tenkan-sen
#' \item \code{$kijun}: Kijun-sen
#' \item \code{$senkouA}: Senkou span A
#' \item \code{$senkouB}: Senkou span B
#' \item \code{$chikou}: Chikou span
#' \item \code{$cloudT}: cloud Top (max of senkouA, senkouB)
#' \item \code{$cloudB}: cloud Base (min of senkouA, senkouB)
#' }
#' Attributes:
#' \itemize{
#' \item{\code{attributes(object)$periods}:} { parameters used to
#' calculate the cloud [integer vector of length 3]}
#' \item{\code{$periodicity}:} { periodicity of the
#' data in seconds [numeric]}
#' \item{\code{$ticker}:} { instrument identifier [character]}
#' \item \code{attributes(object)$periods}: parameters used to calculate
#' the cloud [integer vector of length 3]
#' \item \code{$periodicity}: periodicity of the data in seconds
#' [numeric]
#' \item \code{$ticker}: instrument identifier [character]
#' }
#'
#' @section Further Details:
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24 changes: 12 additions & 12 deletions R/oanda.R
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#' Summarised from the streaming API documentation:
#'
#' \itemize{
#' \item{Pricing stream does not include every single price created for the
#' Account}
#' \item{At most 4 prices are sent per second (every 250 milliseconds) for
#' each instrument}
#' \item{If more than one price is created during the 250 millisecond window,
#' only the price in effect at the end of the window is sent}
#' \item{This means that during periods of rapid price movement, not every
#' price is sent}
#' \item{Pricing windows for different connections to the stream are not all
#' aligned in the same way (e.g. to the top of the second)}
#' \item{This means that during periods of rapid price movement, different
#' prices may be observed depending on the alignment for the connection}
#' \item Pricing stream does not include every single price created for the
#' Account
#' \item At most 4 prices are sent per second (every 250 milliseconds) for
#' each instrument
#' \item If more than one price is created during the 250 millisecond window,
#' only the price in effect at the end of the window is sent
#' \item This means that during periods of rapid price movement, not every
#' price is sent
#' \item Pricing windows for different connections to the stream are not all
#' aligned in the same way (e.g. to the top of the second)
#' \item This means that during periods of rapid price movement, different
#' prices may be observed depending on the alignment for the connection
#' }
#'
#' @section Further Details:
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32 changes: 16 additions & 16 deletions R/strat.R
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#'
#' Columns [numeric]:
#' \itemize{
#' \item{\code{$cond}:} {a boolean vector if the indicator condition is met}
#' \item{\code{$posn}:} {a boolean vector indicating if a position is held}
#' \item{\code{$txn}:} {a vector representing the transactions to implement
#' the position (1 = enter position, -1 = exit position)}
#' \item{\code{$logret}:} {a vector of log returns}
#' \item{\code{$slogret}:} {a vector of log returns for the strategy}
#' \item{\code{$ret}:} {a vector of discrete returns}
#' \item{\code{$sret}:} {a vector of of discrete returns for the strategy}
#' \item \code{$cond}: a boolean vector if the indicator condition is met
#' \item \code{$posn}: a boolean vector indicating if a position is held
#' \item \code{$txn}: a vector representing the transactions to implement
#' the position (1 = enter position, -1 = exit position)
#' \item \code{$logret}: a vector of log returns
#' \item \code{$slogret}: a vector of log returns for the strategy
#' \item \code{$ret}: a vector of discrete returns
#' \item \code{$sret}: a vector of of discrete returns for the strategy
#' }
#'
#' Attributes:
#' \itemize{
#' \item{\code{$strat}:} {the strategy summary [matrix]}
#' \item \code{$strat}: the strategy summary [matrix]
#' }
#'
#' The strategy summary may be accessed by the \code{summary()} method for
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#' denotes the strategy 'c3 > c4'.
#'
#' \itemize{
#' \item{Combined strategy 's1 & s2':} {indicator conditions in 's1' and
#' \item Combined strategy 's1 & s2': indicator conditions in 's1' and
#' 's2' have to be met simulateneously for a position to be taken. The
#' column \code{$cond} will show when both conditions are met.}
#' \item{Asymmetric strategy 's1 x s2':} {indicator condition in 's1' has
#' to be met to enter a position, and indicator condition in 's2' to exit
#' a position. These rules are applied recursively over the length of the
#' data. The column \code{$cond} will show when the indicator condition
#' is met in 's1'}
#' column \code{$cond} will show when both conditions are met
#' \item Asymmetric strategy 's1 x s2': indicator condition in 's1' has
#' to be met to enter a position, and indicator condition in 's2' to
#' exit a position. These rules are applied recursively over the length
#' of the data. The column \code{$cond} will show when the indicator
#' condition is met in 's1'
#' }
#'
#' @section Further Details:
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52 changes: 26 additions & 26 deletions man/ichimoku-package.Rd

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36 changes: 18 additions & 18 deletions man/ichimoku.Rd

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24 changes: 12 additions & 12 deletions man/oanda_stream.Rd

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12 changes: 6 additions & 6 deletions man/sample_ohlc_data.Rd

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