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Range, Renko
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Range, Renko

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Range, Renko

Hi,

Has anyone implemented some type of Px aggregation code (Range, Renko, pnf, etc) in R?

Thanks,
Raj

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I found this in google (not tested it myself)

https://r-forge.r-project.org/R/?group_id=1632

give it a try

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(I think the package is better than you would guess from the above picture)


Last edited by puma; October 16th, 2014 at 02:49 PM.
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rpatil524 View Post
Hi,

Has anyone implemented some type of Px aggregation code (Range, Renko, pnf, etc) in R?

Thanks,
Raj

I've also been searching for a way to convert tick-level data (exported ASCII from Multicharts) to a Range, Renko and Heikin Ashi series that I'd be able to store once and leverage across a lot of back-testing scenarios in R since MC back-testing doesn't take advantage of the 8 cores available on my I7 (among other things). I've invested a lot of time in writing a lot of EasyLanguage over the years but figure it's going to be worth converting to R since I seem to be at an impasse with either NT or MC for testing. Long term, I'd like to be able make things a lot more parallel than they are today and distribute the workload across a cluster of 48-core boxes, but that's AFTER I get the code converted .

That being said, having spent a lot of time with Perl throughout my IT career, R internals appears at first glance very similar to Perl (from a data structure / C usage standpoint) so that has me thinking I should write a "harrr" (Heikin-Ashi, Renko, Range) package to create xts-like OHLC time series that can be either used in back-testing or passed to whatever TA charting tools R has to offer (quantmod will most likely suffice here once I have the data converted).

Given this thread was started 8+ months ago, has anyone seen this implemented yet or does it sound like something worth pursuing and uploading to CRAN?

-Guy

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Heiken Ashi is in my IKTrading package. Renko and other such "brick only when the price rises above a certain point" is something I've never done. Heiken Ashi requires a little Rcpp knowledge, however. R's for loops are way too slow to compute it.

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IlyaKipnis View Post
Heiken Ashi is in my IKTrading package. Renko and other such "brick only when the price rises above a certain point" is something I've never done. Heiken Ashi requires a little Rcpp knowledge, however. R's for loops are way too slow to compute it.

Thanks Ilya - I'll take a look there for HA. I'm also poking around with the xts package ("to.period()" stuff) which looks to also use a lot of Rcpp for performance. I've read a bunch already about R's performance (or lack thereof) for loops, but fortunately I know C/C++ and am just learning how Rcpp makes use of them (hopefully won't take too long).

-Guy

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