R: Donchian Channel

DonchianChannel {TTR} | R Documentation

## Donchian Channel

### Description

Donchian Channels were created by Richard Donchian and were used to generate buy and sell signals for the Turtle Trading system.

### Usage

    DonchianChannel(HL, n = 10, include.lag = FALSE)

### Arguments

`HL` | Object that is coercible to xts or matrix and contains High-Low prices.
`n` | Number of periods for moving average.
`include.lag` | Should values be lagged so that today's prices are not included in the calculation? See Note.

### Details

Donchian Channels consist of two (sometimes three) lines:

The top line is the highest high of the past `n` periods. The bottom line is the lowest low of the past `n` periods. The middle line is the average of the top and bottom lines.

### Value

A object of the same class as `HL` or a matrix (if `try.xts` fails) containing the columns:

high

  The highest high series.

mid

  The average of `high` and `low`.

low

  The lowest low series.

### Note

The default of `include.lag=FALSE` makes `DonchainChannel` consistent with other TTR functions, in that it includes the current period in the calculation.

The default is different than the original calculation, which would calculate the indicator using periods t-1 through t-n. Setting `include.lag=TRUE` will return the result of the original calculation.

The default of this argument may change in the future.

### Author(s)

Joshua Ulrich

### References

The following site(s) were used to code/document this indicator:
http://www.linnsoft.com/tour/techind/donch.htm

### See Also

See `BBands`.

### Examples

    data(ttrc)
    dc <- DonchianChannel( ttrc[,c("High","Low")] )

[Package TTR version 0.23-1 Index]