Moving Windows
In TTR: Technical Trading Rules

runSum

R Documentation

Analysis of Running/Rolling/Moving Windows

Description

Various functions to analyze data over a moving window of periods.

Usage

runSum(x, n = 10, cumulative = FALSE)

runMin(x, n = 10, cumulative = FALSE)

runMax(x, n = 10, cumulative = FALSE)

runMean(x, n = 10, cumulative = FALSE)

runMedian(x, n = 10, non.unique = "mean", cumulative = FALSE)

runCov(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

runCor(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

runVar(x, y = NULL, n = 10, sample = TRUE, cumulative = FALSE)

runSD(x, n = 10, sample = TRUE, cumulative = FALSE)

runMAD(
  x,
  n = 10,
  center = NULL,
  stat = "median",
  constant = 1.4826,
  non.unique = "mean",
  cumulative = FALSE
)

wilderSum(x, n = 10)

Arguments

`x`	Object coercible to xts or matrix.
`n`	Number of periods to use in the window or, if `cumulative=TRUE`, the number of observations to use before the first result is returned. Must be between 1 and `nrow(x)`, inclusive.
`cumulative`	Logical, use from-inception calculation?
`non.unique`	One of 'mean', 'max', or 'min'; which compute their respective statistics for the two middle values of even-sized samples.
`y`	Object coercible to xts or matrix.
`use`	Only `"all.obs"` currently implemented.
`sample`	Logical, sample covariance if `TRUE` (denominator of `n-1`)
`center`	The values to use as the measure of central tendency, around which to calculate deviations. The default (`NULL`) uses the median.
`stat`	Statistic to calculate, one of 'median' or 'mean' (e.g. median absolute deviation or mean absolute deviation, respectively.)
`constant`	Scale factor applied to approximate the standard deviation.

Value

A object of the same class as x and y or a vector (if try.xts fails).

runSum: returns sums over a n-period moving window.
runMin: returns minimums over a n-period moving window.
runMax: returns maximums over a n-period moving window.
runMean: returns means over a n-period moving window.
runMedian: returns medians over a n-period moving window.
runCov: returns covariances over a n-period moving window.
runCor: returns correlations over a n-period moving window.
runVar: returns variances over a n-period moving window.
runSD: returns standard deviations over a n-period moving window.
runMAD: returns median/mean absolute deviations over a n-period moving window.
wilderSum: retuns a Welles Wilder style weighted sum over a n-period moving window.