Implementing Technical Indicators: 4WR

Programming Technical Indicators R 4WR
December 22, 2017

Introduction

In this part of my series Implementing Technical Indicators I provide you with the R implementation of another technical indicator. Please refer to my article Technical Indicators: An Introduction for an overview of the concept of technical indicators and for details on the particular one presented in this article.

DISCLAIMER: None of the below is intended to be considered as any kind of investment advice. All examples serve as illustrative material only.

Implementation

For an implementation of the four weeks rule (4WR) trading strategy please see the R code below. The function FWR calculates both indicator values and resulting trading signals, which may afterwards be plotted with help of the function plotFWR. Note that both function use tools introduced in my article Implementing Technical Indicators: Tools. 


#
# (FOUR) WEEK RULE
#
# long / neutral / short indicator
#

source("Indicators/IndicatorHelperFunctions.R")
source("Indicators/IndicatorPlottingFunctions.R")

# indicator calculation
FWR = function(v_values, i_short_window=10, i_long_window=20, b_neutral=FALSE)
{
  checkWindow(v_values, i_long_window)
  checkWindows(i_short_window, i_long_window)
  
  v_short_min = c()
  v_short_max = c()
  if (b_neutral) {
    v_short_min = runningMin(v_values, i_short_window)
    v_short_max = runningMax(v_values, i_short_window)
  }
    
  v_long_min = runningMin(v_values, i_long_window)
  v_long_max = runningMax(v_values, i_long_window)
  
  i_length = length(v_values)
  v_signals = rep(0, i_length)
  
  if (b_neutral) {
    v_signals[1] = 0
  } else {
    v_signals[1] = 1
  }
  
  for (i in 2 : i_length) {
    d_value = v_values[i]
    
    if (d_value >= v_long_max[i-1]) {
      v_signals[i] = 1
    } else if (d_value <= v_long_min[i-1]) {
      v_signals[i] = -1
    } else if (b_neutral) {
      if (((v_signals[i-1] == 1)  && (d_value <= v_short_min[i-1])) 
       || ((v_signals[i-1] == -1) && (d_value >= v_short_max[i-1]))) {
        v_signals[i] = 0
      } else {
        v_signals[i] = v_signals[i-1]  
      }
    } else {
      v_signals[i] = v_signals[i-1]
    }
    
  }
  
  df_4wr = data.frame(v_signals, v_values, v_long_min, v_long_max)
  colnames(df_4wr) = c("Signal", "Price", "lMin", "lMax")
  
  if (b_neutral) {
    df_4wr$sMin = v_short_min
    df_4wr$sMax = v_short_max
  }
  
  return(df_4wr)
}

# indicator plotting
plotFWR = function(v_date, df_fwr, s_path)
{
  isDataFrame(df_fwr)
  dateMatch(v_date, df_fwr)
  
  v_legend = c("Price", "Long Min", "Long Max")
  v_color  = c("black", "blue", "blue")
  if (ncol(df_fwr) == 6) {
    v_legend = c(v_legend, "Short Min", "Short Max")
    v_color  = c(v_color, "purple", "purple")
  }
  
  plotIndicator(v_date, df_fwr$Signal, df_fwr[, -1], v_color, v_legend, s_path)
}