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Jan
22
comment R TTR/RSI does not behave like a Bloomberg RSI
@KyleBalkissoon The default seems to be using also maArgs$wilder parameter: if (missing(maType)) { maType <- "EMA" maArgs$wilder <- TRUE }
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
@JoshuaUlrich You are right! I was trying EMA, SMA, etc but they did differ. Using default parameters produces indeed the closest value.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
@JoshuaUlrich it is not very close actually. See my edit.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
Agree, SMA is a moving average over x days, i.e. mean. I am simply stating this RSI is not the same as what Bloomberg computes and was wondering how to calculate exactly the same results in TTR.
Jan
21
comment R TTR/RSI does not behave like a Bloomberg RSI
I am specifying SMA indeed. SMA however is simply "sum of gains over last x days". It doesn't use the "previous average gain x (x-1) + last gain / x" logic.
Apr
7
comment Is there any thing out there as a substitute for KDB?
@Chuu I only started looking into kdb+ but so far I can see that performance is much better than the column datastores that I know of. Interesting fact - kdb+ is a column based database as well. See: stackoverflow.com/questions/22840510/…
Apr
7
comment Is there any thing out there as a substitute for KDB?
@Chuu, do you have any data to back up your claim?
Mar
21
comment Sources of Machine Readable News
Thanks Matt. Which service did you replace them with? Is the replacement better?
Mar
20
comment Sources of Machine Readable News
Is this API freely available? If not do you have any idea of the cost?
Mar
21
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
@assylias That sounds promising, any idea how would you translate ISIN from/to RICs in Reuters?
Mar
20
comment Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
@assylias I have access to both. If you know how to translate ISIN to both Reuters and Bloomberg symbols I would be happy to accept such an answer.