testOfSpeed.R

In 3schwartz/cryptoPlay: CryptoPlaying (Title Case)

############################
##### TEST OF SPEED ########
############################
BTC.Cl <- quantmod::Cl(BTC)

do.call(cbind, lapply(list(rollapply = rollapply(BTC.Cl, width = 200, FUN = mean),
                           SMA = SMA(BTC.Cl, n = 200),
                           rollmeanr = rollmeanr(BTC.Cl, k = 200, fill = NA),
                           runMean = runMean(BTC.Cl, n = 200),
                           SMACpp = xts(SMACpp(BTC.Cl, k= 200), order.by = index(BTC.Cl))),
                      function(x){
                        x[198:220,]
                      }))

microbenchmark::microbenchmark(
  rollappply = rollapply(BTC.Cl, width = 200, FUN = mean),
  SMA = SMA(BTC.Cl, n = 200),
  rollmeanr = rollmeanr(BTC.Cl, k = 200, fill = NA),
  runMean = runMean(BTC.Cl, n = 200),
  SMACpp = SMACpp(BTC.Cl, k = 200),
  times = 2
)

do.call(cbind, lapply(list(rollapply = zoo::rollapply(BTC.Cl, width = 200, FUN = sd),
                           sdRollCpp = sdRollCpp(BTC.Cl, k = 200),
                           runSD = TTR::runSD(BTC.Cl, n = 200)),
                      function(x){
                        x[198:220]
                      }))

microbenchmark::microbenchmark(
  rollapply = zoo::rollapply(BTC.Cl, width = 200, FUN = sd),
  sdRollCpp = sdRollCpp(BTC.Cl, k = 200),
  runSD = TTR::runSD(BTC.Cl, n = 200),
  times = 2
)