make_transform: Make simple transformations of an xts matrix

In jeanmarcgp/xtsanalytics: A library of functions to do advanced analytics of time series data (xts matrices).

Description

This function takes an xts matrix and applies a simple feature transformation to it in a columnwise fashion. For example, the matrix may be a series of asset prices. The feature transformation could be to perform a rolling SMA to it.

Usage

make_transform(data, feature, addname = FALSE)

Arguments

data	The xts matrix containing the data to transform. The feature is applied to each column as specified by argument 'feature'.
feature	The definition of the feature to apply to the data matrix. See the Details section for 'make_features' for the syntax for specifying a simple feature.
addname	Logical. Specifies whether the column name of the xts matrix returned stay as they were provided, or whether the feature name is appended to it.

Value

Returns an xts matrix of identical dimensions as data, with each column having the specified feature applied to it. Leading NAs are padded as needed when computing the feature.

See Also

make_features

jeanmarcgp/xtsanalytics documentation built on May 19, 2019, 12:38 a.m.