rollingFunction {PerformanceAnalytics} | R Documentation |
This is a wrapper for providing n-period trailing calculations for the data and functions provided.
rollingFunction(R, width, trim = TRUE, na.rm = TRUE, digits = 4, rf = 0, FUN = "mean", ...)
R |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
width |
the number of periods over which a function is to be calculated. Use the value zero (0) to roll the statistic from inception |
trim |
TRUE/FALSE, whether to keep alignment caused by NA's |
na.rm |
TRUE/FALSE Remove NA's from the returns? |
digits |
number of digits to round results to |
rf |
risk free rate, in same period as your returns |
FUN |
function to apply rolling period over |
... |
any other passthru parameters |
Examples:
> rollingFunction(gg.ts[,1],n=3,FUN="Return.annualized") Manager 2002-02-28 0.0306 2002-03-31 0.0521 2002-04-30 0.0387 ... > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="Return.annualized") Manager 2001-12-31 NA 2002-01-31 NA 2002-02-28 0.0306 2002-03-31 0.0521 2002-04-30 0.0387 ... > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="SharpeRatio.annualized") Manager 2001-12-31 NA 2002-01-31 NA 2002-02-28 1.5302 2002-03-31 4.3768 2002-04-30 6.9640 ... > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="SharpeRatio.annualized",rf=.03/12) Manager 2001-12-31 NA 2002-01-31 NA 2002-02-28 0.0298 2002-03-31 1.8587 2002-04-30 1.5598
results over a rolling period
Inspired by rollFun
written by Diethelm Wurtz. We've extended the idea to all the columns provided.
Peter Carl