I am using the tidyquant package in R to calculate indicators for every symbol in the SP500.
As a sample of code:
stocks_w_price_indicators<- stocks2 %>%
group_by(symbol)%>%
tq_mutate(select=close,mutate_fun=RSI) %>%
tq_mutate(select=c(high,low,close),mutate_fun=CLV)
This works for price-based indicators, but not indicators that include volume.
I get "Evaluation error: argument "volume" is missing, with no default."
stocks_w_price_indicators<- stocks2 %>%
group_by(symbol)%>%
tq_mutate(select=close,mutate_fun=RSI) %>%
tq_mutate(select=c(high,low,close,volume),mutate_fun=CMF)
How can I get indicators that include volume to calculate properly?
There are a few functions from the TTR package that cannot be used with tidyquant. Reason being they need 3 inputs like adjRatios or need an HLC object and a volume column like the CMF function. Normally you would solve this by using the tq_mutate_xy function but this one cannot handle the HCL needed for the CMF function. If you would use the OBV function from TTR that needs a price and a volume column and works fine with tq_mutate_xy.
Now there are 2 options. One the CMF function needs to be adjusted to handle a (O)HLCV object. Or two, create your own function.
The last option is the fastest. Since the internals of the CMF function call on the CLV function you could use the first code block you have and extend it with a normal dplyr::mutate call to calculate the cmf.
# create function to calculate the chaikan money flow
tq_cmf <- function(clv, volume, n = 20){
runSum(clv * volume, n)/runSum(volume, n)
}
stocks_w_price_indicators <- stocks2 %>%
group_by(symbol) %>%
tq_mutate(select = close, mutate_fun = RSI) %>%
tq_mutate(select = c(high, low, close), mutate_fun = CLV) %>%
mutate(cmf = tq_cmf(clv, volume, 20))
# A tibble: 5,452 x 11
# Groups: symbol [2]
symbol date open high low close volume adjusted rsi clv cmf
<chr> <date> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
1 MSFT 2008-01-02 35.8 36.0 35 35.2 63004200 27.1 NA -0.542 NA
2 MSFT 2008-01-03 35.2 35.7 34.9 35.4 49599600 27.2 NA 0.291 NA
3 MSFT 2008-01-04 35.2 35.2 34.1 34.4 72090800 26.5 NA -0.477 NA
4 MSFT 2008-01-07 34.5 34.8 34.2 34.6 80164300 26.6 NA 0.309 NA
5 MSFT 2008-01-08 34.7 34.7 33.4 33.5 79148300 25.7 NA -0.924 NA
6 MSFT 2008-01-09 33.4 34.5 33.3 34.4 74305500 26.5 NA 0.832 NA
7 MSFT 2008-01-10 34.3 34.5 33.8 34.3 72446000 26.4 NA 0.528 NA
8 MSFT 2008-01-11 34.1 34.2 33.7 33.9 55187900 26.1 NA -0.269 NA
9 MSFT 2008-01-14 34.5 34.6 34.1 34.4 52792200 26.5 NA 0.265 NA
10 MSFT 2008-01-15 34.0 34.4 34 34 61606200 26.2 NA -1 NA