TTR HMA issues

[aju1987b]

Hi,

Firstly, thanks for the TTR package, it is very useful. I written a code to compute various TTRs and output the results into a nice excel file. For the SMA, EMA, WMA, the code works fine. However, when I try to use the HMA, I keep getting the following error:

Error in WMA(x, n=n/2,...): Length of 'wts' must equal the length of 'x' or 'n'

My code is:

short = HMA(z_data,n_short)
long = HMA(z_data,n_long)

Where z_data is a price series while n_short and n_long are parameters between two values specified in the code. So to confirm, when the HMA is changed to SMA/WMA/EMA, the code works fine. I have added other inputs to the code such as: short = HMA(z_data,n_short,500) and short = HMA(z_data,n_short,"length of data"), but the error remains.

I think I am missing something pretty simple. Any ideas most welcome.

Many thanks.

[joshuaulrich]

Please provide a reproducible example and the output from sessionInfo().

[aju1987b]

The code is below, where we are doing a sort of parameter sweep between n_short1 (n_long1) and n_short2 (n_long2).

HMAB <- function(f,n_short1,n_short2,n_long1,n_long2,n_band) {
  z = read.csv(f) [,1:12]   
  require("TTR")
  require("quantmod")
  require("WriteXLS")
  z_data = z[,"Last"] 

  nob = length(z_data)
  ret = (z_data[2:nob])-(z_data[1:(nob-1)])

  v_short = vector()
  v_long = vector()
  v_band = vector()
  v_no.buys = vector()
  v_no.sells = vector()

  for (n_short in n_short1:n_short2)
  {
    for (n_long in n_long1:n_long2)
    {
      short = HMA(z_data,n_short,500)
      long = HMA(z_data,n_long,500)
      signup = ifelse(short>=long*n_band,1,0)
      signdn = ifelse(long>short*n_band,-1,0)
      sign = signup+signdn
      sign = Lag(sign)
      sign = sign[-1]
      sign[is.na(sign)]=0
      returns = sign*ret
      returns[is.na(returns)] = 0
      up = ifelse(sign==1,1,0)
      dn = ifelse(sign==-1,1,0)
      no.buys = sum(up)
      no.sells = sum(dn)

      v_short = append(v_short, n_short)
      v_long = append(v_long, n_long)
      v_band = append(v_band,n_band)
      v_no.buys = append(v_no.buys, no.buys)
      v_no.sells = append(v_no.sells, no.sells)
    }
  }

  df = data.frame(
    "short" = v_short,
    "long" = v_long,
    "band" = v_band,
    "n(buys)" = v_no.buys,
    "n(sells)" = v_no.sells)

  file_name = paste("HMA1",f,n_short1,n_short2,n_long1,n_long2,n_band,".xls")
  WriteXLS("df", ExcelFileName = file_name, SheetNames = NULL,
    row.names = FALSE, col.names = TRUE)
}

The session output is;

R version 3.2.0 (2015-04-16)
Platform: x86_64-apple-darwin13.4.0 (64-bit)
Running under: OS X 10.10.5 (Yosemite)

locale:
[1] en_GB.UTF-8/en_GB.UTF-8/en_GB.UTF-8/C/en_GB.UTF-8/en_GB.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods  
[7] base     

other attached packages:
[1] WriteXLS_4.0.0 quantmod_0.4-5 xts_0.9-7      zoo_1.7-12    
[5] TTR_0.23-1    

loaded via a namespace (and not attached):
[1] tools_3.2.0     grid_3.2.0      lattice_0.20-31

[joshuaulrich]

I should have emphasized minimal when I asked for a reproducible example...

Regardless, you're passing 3 arguments to HMA, which only has 2 arguments (x and n). What do you expect the third argument to do?

What happens is that third arguments is passed to the WMA calls inside HMA, and it's interpreted as the value for wts. Since 500 is a vector of length = 1, and your data have more than one observation, you get the error.