R: Trend Detection Index

TDI {TTR} | R Documentation

## Trend Detection Index

### Description

The Trend Detection Index (TDI) attempts to identify starting and ending trends. Developed by M. H. Pee.

### Usage

    TDI(price, n = 20, multiple = 2)

### Arguments

`price` | Price series that is coercible to xts or matrix.
`n` | Number of periods to use.
`multiple` | Multiple used to calculate (2).

### Details

The TDI is the (1) absolute value of the `n`-day sum of the `n`-day momentum, minus the quantity of (2) `multiple`*`n`-day sum of the absolute value of the `n`-day momentum, minus (3) `n`-day sum of the absolute value of the `n`-day momentum.

I.e. TDI = (1) - [ (2) - (3) ]

The direction indicator is the sum of the `n`-day momentum over the last `n` days.

See URL in references section for further details.

### Value

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

tdi

  The Trend Detection Index.

di

  The Direction Indicator.

### Note

Positive/negative TDI values signal a trend/consolidation. A positive/ negative direction indicator signals a up/down trend. I.e. buy if the TDI and the direction indicator are positive, and sell if the TDI is positive while the direction indicator is negative.

### Author(s)

Joshua Ulrich

### References

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

### See Also

See `aroon`, `CCI`, `ADX`, `VHF`, `GMMA` for other indicators that measure trend direction/strength.

### Examples

    data(ttrc)
    tdi <- TDI(ttrc[,"Close"], n=30)

[Package TTR version 0.23-1 Index]