R包MACD函数

Question

我很难协调R包TTR 0.22中MACD函数的输出(顺便说一句，这是一个很好的包，我使用了很多，感谢约书亚)。

一个具体的例子是APPL 2013年2月19日至2013年5月22日的日收盘价。我选择了这个数据集，因为在电子表格这里中有一个有用的示例。5月22日macd和信号的预期最终值分别为2.762和3.96 (我已经使用标准EMA值12、26、9对这些值进行了双重检查，参见下面的示例代码)。但是，MACD函数对于macd和信号值返回0.63和0.903。我漏掉了什么明显的东西吗？

require(TTR)
require(xts)

## Apple APPL daily closes 19 Feb 13 to 22 May 13
## Data take from example : http://investexcel.net/how-to-calculate-macd-in-excel/
appl = c(459.99,448.85,446.06,450.81,442.8,448.97,444.57,441.4,430.47,420.05,431.14,425.66,430.58,431.72,437.87,428.43,428.35,432.5,443.66,455.72,454.49,452.08,452.73,461.91,463.58,461.14,452.08,442.66,428.91,429.79,431.99,427.72,423.2,426.21,426.98,435.69,434.33,429.8,419.85,426.24,402.8,392.05,390.53,398.67,406.13,405.46,408.38,417.2,430.12,442.78,439.29,445.52,449.98,460.71,458.66,463.84,456.77,452.97,454.74,443.86,428.85,434.58,433.26,442.93,439.66,441.35)
expected.last.macd = 2.7625612158
expected.last.signal = 3.9606012968

macd.maType='EMA'
fast=12
slow=26
sig=9

## 1. Call TTR MACD function and test last() values against expected values 
m = MACD(x=appl, nFast=fast, nSlow=slow, nSig=sig, maType = macd.maType )

actual.last.macd = last(m[,1])
actual.last.signal = last(m[,2])

cat('Test 1. TTR MACD\n')

if ( abs(expected.last.macd-actual.last.macd) > 1e-6 ) {
  cat('macd results differ: expected/actual', expected.last.macd, actual.last.macd, '\n')
} else {
  cat('macd results match\n')
}

if ( abs(expected.last.signal-actual.last.signal) > 1e-6 ) {
  cat('signal results differ: expected/actual', expected.last.signal, actual.last.signal, '\n')
} else {
  cat('signal results match\n')
}


## 2. Build our own MACD
ema.fast = EMA(x=appl, n = fast)
ema.slow = EMA(x=appl, n = slow)
macd = ema.fast - ema.slow
signal = EMA(x=macd, n=sig)

actual.last.macd = last(macd)
actual.last.signal = last(signal)

cat('Test 2. DIY MACD\n')
if ( abs(expected.last.macd-actual.last.macd) > 1e-6 ) {
  cat('macd results differ: expected/actual', expected.last.macd, actual.last.macd, '\n')
} else {
  cat('macd results match\n')
}

if ( abs(expected.last.signal-actual.last.signal) > 1e-6 ) {
  cat('signal results differ: expected/actual', expected.last.signal, actual.last.signal, '\n')
} else {
  cat('signal results match\n')
}

Answer 1

您需要设置percent=FALSE

R> m = MACD(x=appl, nFast=fast, nSlow=slow, nSig=sig, percent=FALSE)

来自?MACD

百分比:逻辑；如果“真”，则返回快速和慢移动平均线之间的百分比差，否则返回各个平均值之间的差异。