rollingFunction {PerformanceAnalytics}R Documentation

wrapper to apply functions over a rolling period

Description

This is a wrapper for providing n-period trailing calculations for the data and functions provided.

Usage

rollingFunction(R, width, trim = TRUE, na.rm = TRUE, digits = 4, rf = 0, FUN = "mean", ...)

Arguments

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

Details

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

Value

results over a rolling period

Note

Inspired by rollFun written by Diethelm Wurtz. We've extended the idea to all the columns provided.

Author(s)

Peter Carl

References

See Also

rollFun

Examples






[Package PerformanceAnalytics version 0.9.5 Index]