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joshuaulrich / TTR

Technical analysis and other functions to construct technical trading rules with R
GNU General Public License v2.0
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WMA calculation #16

Open lz1nwm opened 8 years ago

lz1nwm commented 8 years ago

Please see the example below. Is it a bug or something intentional?

> WMA(c(8, 8, rep(0, 10)), 3, c(6, 1, rep(0, 10)))
 [1]  NA  NA   8   8 NaN NaN NaN NaN NaN NaN NaN NaN
> WMA(c(0.8, 0.8, rep(0, 10)), 3, c(0.6, 0.1, rep(0, 10)))
 [1]   NA   NA  0.8  0.8 -2.0 -2.0 -2.0 -2.0 -2.0 -2.0 -2.0 -2.0
Session info -----------------------------------------------
 setting  value                       
 version  R version 3.2.2 (2015-08-14)
 system   x86_64, linux-gnu           
 ui       RStudio (0.99.486)          
 language (EN)                        
 collate  en_US.UTF-8                 
 tz       <NA>                        
 date     2015-10-13                  

Packages --------------------------------------------------
 package    * version date       source        
 devtools     1.9.1   2015-09-11 CRAN (R 3.2.2)
 digest       0.6.8   2014-12-31 CRAN (R 3.1.2)
 lattice      0.20-33 2015-07-14 CRAN (R 3.2.1)
 memoise      0.2.1   2014-04-22 CRAN (R 3.2.0)
 rstudioapi   0.3.1   2015-04-07 CRAN (R 3.2.0)
 TTR        * 0.23-0  2015-07-10 CRAN (R 3.2.2)
 xts          0.9-7   2014-01-02 CRAN (R 3.2.0)
 zoo          1.7-12  2015-03-16 CRAN (R 3.1.3)
joshuaulrich commented 8 years ago

Not sure I'd call it a bug. It's a limitation of the current implementation of runSum, which does not do any adjustments for rounding error due to floating-point arithmetic (i.e. Kahan summation).

This has already been implemented in some unexported C code in xts, and I'd prefer to use that instead of rewriting the functionality in TTR.