al1_whichmax: Time series argument max (rolling)

In Inpirical/alphassess: Functions for Assessing Equities Trading Alpha-Signals

Description

Time series argument max (rolling)

Usage

al1_whichmax(data, width)

Arguments

data	the data to be used (representing a series of observations).
width	numeric vector or list. In the simplest case this is an integer specifying the window width (in numbers of observations) which is aligned to the original sample according to the align argument. Alternatively, width can be a list regarded as offsets compared to the current time, see below for details.

Inpirical/alphassess documentation built on May 26, 2019, 7:27 a.m.