trailingFUN: apply a function over a configurable trailing period

In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

apply a function over a configurable trailing period

Description

this function is primarily designed for use with portfolio functions passing 'x' or 'R' and weights, but may be usable for other things as well, see Example for a vector example.

Usage

trailingFUN(R, weights, n = 0, FUN, FUNargs = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
weights	a vector of weights to test
n	numeric number of trailing periods
FUN	string describing the function to be called
FUNargs	list describing any additional arguments
...	any other passthru parameters

Details

called with e.g.

trailingFUN(seq(1:100), weights=NULL, n=12, FUN='mean',FUNargs=list())

braverock/PortfolioAnalytics documentation built on Nov. 24, 2022, 2:38 p.m.