roll_max: Calculate the rolling maximum of an _xts_ time series over a...

In algoquant/rutils: Utility Functions for Simplifying Financial Data Management and Modeling

Calculate the rolling maximum of an xts time series over a sliding window (lookback period).

Description

Calculate the rolling maximum of an xts time series over a sliding window (lookback period).

Usage

roll_max(xtsv, lookb)

Arguments

xtsv	An xts time series containing one or more columns of data.
lookb	The size of the lookback window, equal to the number of data points for calculating the rolling sum.

Details

For example, if lookb=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.

Value

An xts time series with the same dimensions as the input series.

Examples

# Create xts time series
xtsv <- xts(x=rnorm(1000), order.by=(Sys.time()-3600*(1:1000)))
rutils::roll_max(xtsv, lookb=3)

algoquant/rutils documentation built on June 10, 2025, 3:55 p.m.