rollFun: Analysis of Running/Rolling/Moving Windows

In joshuaulrich/TTR: Technical Trading Rules

Analysis of Running/Rolling/Moving Windows

Description

Various functions to analyze data over a moving window of periods.

Usage

rollSFM(Ra, Rb, n = 60)

Arguments

Ra	Object coercible to xts or matrix, containing the excess return for an individual security
Rb	Object coercible to xts or matrix, containing the market / benchmark return
n	Number of periods to use in the window

Value

A object of the same class as Ra (and Rb?) or a vector (if try.xts fails).

rollSFM

returns single-factor model parameters and R-squared over a n-period moving window.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator: https://en.wikipedia.org/wiki/Simple_linear_regression

joshuaulrich/TTR documentation built on Feb. 17, 2024, 6:38 a.m.