R support resistance levels as probability distribution

Question

TTR has some excellent TA indicators. Is there a package or function that calculates and charts different types of Support and resistance levels? Preferably a probability distribution for the likely support and resistance levels

Re: your edit, have you seen this type of thing (probability distribution of support/resistance) in the literature? Could you provide references/links? — GSee, Jun 19 '12 at 19:51
I would like to be able to forecast the next local min and maximum from the previous historic local min and maxs with a degree of confidence included. — adam.888, Jun 20 '12 at 18:18
ref something like:http://rhinohide.wordpress.com/2012/05/27/boe-quantifying-catastrophe/#more-3004 — adam.888, Jul 03 '12 at 00:19
ref: http://grrrraphics.blogspot.co.uk/2012/05/ever-wanted-to-see-at-glance.html — adam.888, Jul 10 '12 at 12:01

score 5 · Accepted Answer · edited Apr 26 '18 at 18:31

Here's an example to follow up on my comment.

Calculate pivots using monthly data. Each month, use the Support and Resistance calculated from the previous month's data. (Of course, it doesn't have to be monthly pivots with daily data. You could use daily pivots, and an intraday price series)

library(quantmod)
getSymbols("SPY", from="2010-05-01", to="2012-06-15")
mSPY <- to.monthly(SPY, drop.time=TRUE)
# pivots() is excluded from the TTR build because it uses quantmod functions,
# but you can still get it from GitHub by running:
#source("https://raw.githubusercontent.com/joshuaulrich/TTR/master/R/pivots.R")
piv <- lag(pivots(mSPY, lagts=FALSE))
#merge, and fill forward pivot values so that there is a value for each day
dat <- cbind(SPY, piv)
dat[, 7:11] <- na.locf(dat[, 7:11])
chartSeries(OHLC(SPY), theme='white')
addTA(dat$S1, on=1, col='lightblue')
addTA(dat$S2, on=1, col='blue')
addTA(dat$R1, on=1, col='pink')
addTA(dat$R2, on=1, col='red')

That will produce:

enter image description here

Donchian Channels could also be seen as support and resistance

chartSeries(OHLC(SPY), theme='white')
dc <- lag(DonchianChannel(cbind(Hi(SPY), Lo(SPY))))
addTA(dc$low, on=1, col='blue')
addTA(dc$high, on=1, col='red')

enter image description here

28 June 2014: I tried the code above with the undocumented TTR:::pivots, but it failed. ` > piv <- lag(TTR:::pivots(mSPY, lagts=FALSE)) Error in get(name, envir = asNamespace(pkg), inherits = FALSE) : object 'pivots' not found ` — Doug Edmunds, Jun 29 '14 at 00:24
@DougEdmunds It is [still there](https://r-forge.r-project.org/scm/viewvc.php/pkg/R/pivots.R?view=markup&root=ttr). Try installing TTR from R-Forge. You'll have to install xts from R-Forge first though. — GSee, Jun 29 '14 at 01:07

score 4 · Answer 2 · answered Jun 17 '12 at 14:45

Most of the technical analysis indicators in quantmod come from the TTR package, which I wrote. I did not include subjective indicators like support/resistance lines. That said, quantmod has an addLines function you can use.

library(quantmod)
getSymbols("SPY", from="2012-01-01", to="2012-06-15")
chartSeries(SPY, TA="addLines(h=c(134,141))", theme="white")

Which produces:

chartSeries with support/resistance lines

R support resistance levels as probability distribution

2 Answers2