Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/apply.rolling.R

Creates a results timeseries of a function applied over a rolling window.

1 2 | ```
apply.rolling(R, width, trim = TRUE, gap = 12, by = 1, FUN = "mean",
...)
``` |

`R` |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |

`width` |
number of periods to apply rolling function window over |

`trim` |
TRUE/FALSE, whether to keep alignment caused by NA's |

`gap` |
numeric number of periods from start of series to use to train risk calculation |

`by` |
calculate FUN for trailing width points at every by-th time point. |

`FUN` |
any function that can be evaluated using a single set of returns
(e.g., rolling beta won't work, but |

`...` |
any other passthru parameters |

Wrapper function for `rollapply`

to hide some of the
complexity of managing single-column zoo objects.

A timeseries in a zoo object of the calculation results

Peter Carl

1 2 |

PerformanceAnalytics documentation built on May 31, 2017, 3:16 a.m.

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