roll_max | R Documentation |
Calculate the rolling maximum of an xts time series over a sliding window (lookback period).
roll_max(xtsv, look_back)
xtsv |
An xts time series containing one or more columns of data. |
look_back |
The size of the lookback window, equal to the number of data points for calculating the rolling sum. |
For example, if look_back=3, then the rolling sum at any point is
equal to the sum of xtsv
values for that point plus two preceding
points.
The initial values of roll_max() are equal to cumsum() values, so that
roll_max() doesn't return any NA
values.
The function roll_max()
performs the same operation as function
runMax()
from package
TTR, but
using vectorized functions, so it's a little faster.
An xts time series with the same dimensions as the input series.
# Create xts time series
xtsv <- xts(x=rnorm(1000), order.by=(Sys.time()-3600*(1:1000)))
rutils::roll_max(xtsv, look_back=3)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.