trdsma: Simple Moving Average

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Calculation of a right ended simple moving average with equal weights determined by n.periods.

Usage

trdsma(y, n.periods, trim = FALSE)

Arguments

y	Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.
n.periods	Integer, the number of periods to be included in the calculation of the simple moving average.
trim	Logical, if FALSE (the default) the first value is set to NA, otherwise the object is trimmed by the first obeservation.

Value

An object of the same class as y, containing the computed simple moving averages.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the es trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the es trend. The attributes are preserved and an object of the same class is returned.

Author(s)

Bernhard Pfaff

See Also

filter, trdbilson, trdbinary, trdhp, trdwma, capser, trdes

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
sma <- trdsma(y, n.periods = 24)
head(sma, 30)

FRAPO documentation built on May 2, 2019, 6:33 a.m.