error with donchian channel function.

[junkone]

library(quantmod)
library(PerformanceAnalytics)
s <- get(getSymbols('SPY'))["2012::"]
s$sma20 <- SMA(Cl(s) , 20)
s$position <- ifelse(Cl(s) > s$sma20 , 1 , -1)
myReturn <- lag(s$position) * dailyReturn(s)
charts.PerformanceSummary(cbind(dailyReturn(s),myReturn))
s$dc <- DonchianChannel(,s$SPY.High,s$SPY.Low)

i get a error
Error in try.xts(HL, error = as.matrix) :
argument "HL" is missing, with no default

What mistake am i doing for s$dc?

[technocrat]

@junkone

DonchianChannel(,s$SPY.High,s$SPY.Low)

See help("DonchianChannel")—the function is expecting something in the position just prior to s$SPY.High.

[junkone]

@technocrat

help("DonchianChannel")

How do i convert the s$SPY.High,s$SPY.Low object to a matrix?

Usage
DonchianChannel(HL, n = 10, include.lag = FALSE)
Arguments
HL
Object that is coercible to xts or matrix and contains High-Low prices.

n
Number of periods for moving average.

include.lag
Should values be lagged so that today's prices are not included in the calculation? See Note.

[technocrat]

Similar to

s <- data.frame(high = 6:10,low = 1:5)
s
#>   high low
#> 1    6   1
#> 2    7   2
#> 3    8   3
#> 4    9   4
#> 5   10   5
m <- as.matrix(s)
m
#>      high low
#> [1,]    6   1
#> [2,]    7   2
#> [3,]    8   3
#> [4,]    9   4
#> [5,]   10   5

[mrvinni]

The Donchian channel is an indicator used in market trading developed by Richard Donchian. It is formed by taking the highest high and the lowest low of the last n periods. The area between the high and the low is the channel for the period chosen. It is commonly available on most trading platforms. TQ