Implementing Technical Indicators: XMA

Programming Technical Indicators R XMA

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 crossing moving averages (XMA) trading strategy please see the R code below. The function XMA calculates both indicator values and resulting trading signals, which may afterwards be plotted with help of the function plotXMA. Note that both function use tools introduced in my article Implementing Technical Indicators: Tools.

#
# CROSSING MOVING AVERAGES
#
# long / short only indicator
#

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

# indicator calculation
XMA = function(v_values, i_short_window=10, i_long_window=20)
{
checkWindow(v_values, i_long_window)
checkWindows(i_short_window, i_long_window)

v_short_ma = movingAverage(v_values, i_short_window)
v_long_ma  = movingAverage(v_values, i_long_window)

i_length = length(v_values)
v_signals = rep(0, i_length)

for (i in 1:i_length) {
if (v_short_ma[i] < v_long_ma[i]) {
v_signals[i] = -1
} else {
v_signals[i] = +1
}
}

df_xma = data.frame(v_signals, v_values, v_short_ma, v_long_ma)
colnames(df_xma) = c("Signal", "Price", "sMA", "lMA")

return(df_xma)
}

# indicator plotting
plotXMA = function(v_date, df_xma, s_path)
{
isDataFrame(df_xma)
dateMatch(v_date, df_xma)

plotIndicator(v_date, df_xma\$Signal, df_xma[, -1], c("black", "blue", "purple"), c("Price", "Short MA", "Long MA"), s_path)
}