GenSubidxSD: Generate sub period index based on robust rolling std range...
In hughshuwang/isocyanate: isocyanate (R-N=C=O)

Description Usage Arguments Value Examples

excluding values that are out of sd range (mean p/n threshold times sd) from the rolling window to get more stable range of changes

1 2	GenSubidxSD(series, winlen = 36, sd.threshold = 3, smooth.winlen = 3, IF.LAG = FALSE)

`series`	xts object, benchmark time series, monthly for now
`winlen`	numeric, rolling window length for calculating sd and mean
`sd.threshold`	integer, used for the boundary of standard deviation for the range
`smooth.winlen`	integer, showing how many true in a row to get a true in the index, used for cleaning fragmental: minimum allowed len for index to be positive

zoo::index, monthly for now, can used by series[idx]

# to filter the efa's EFA
pcg.SEE <- pe.SEE / xts::lag.xts(pe.SEE) - 1 # pe.SEE is a PE ratio xts dataframe
stable.idx.efa <- pcg.SEE$EFA %>% na.omit %>%
  GenSubidxSD(sd.threshold = 2, IF.LAG = TRUE, smooth.winlen = 3, winlen = 36)
pcg.SEE$EFA %>% na.omit %>%
  PlotFilterCompLine(stable.idx.efa, "Std Filter for EFA")

# partially modify the signal
signal[!(index(signal) %in% stable.idx.efa)] <- 1;