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rquantmod

Do quantmod indicator calculations include the current day?

I'm new to quantmod and I would like to know if the indicators that I can add have a lagging as part of their calculation.

For example, will RSI calculate the RSI based on the last 14 days without the current day or with the current day? If I would like to get the RSI of the last day should I wrap the code with the lag function as my second line of code below?

# The 14-period relative strength index calculated off the open
RSI_14 <- RSI(Op(Data),n=14)
# The 14-period relative strength index calculated off the prior day's open
RSI_14_lastDay <- lag(RSI(Op(Data),n=14),K=1)
Solution

  • I checked it with SMA and it seems that indicators include current row (last new row) as part of the calculation, so there is a need to add a lag function in order to get the last period value on the current row. Here is an example:

    RSI_14_lastDay <- lag(RSI(Op(Data),n=14),K=1)