Description Usage Arguments Details Value Note Author(s) References
This function computes a running/rolling percentage rank.
1 2  runPercentRank(x, n = 260, cumulative = FALSE,
exact.multiplier = 0.5)

x 
Object coercible to xts or matrix. 
n 
Number of periods to use in the window or, if

cumulative 
Logical, use frominception calculation? 
exact.multiplier 
The weight applied to identical values in the window. See details. 
The computation for a percentage rank can vary depending
on the weight given to values in the window identical to
the value being ranked. This weight can be set using the
exact.multiplier
argument which defaults to 0.5.
A object of percent ranks over a nperiod moving window
of the same class as x
and y
or a vector
(if try.xts
fails).
It may be important to note that this computation is different from the one used in Microsoft Excel's PERCENTRANK formula. Excel's computation is rather strange and gives inconsistent results as it uses interpolation to rank values that are not found within the lookback window.
Charlie Friedemann
The following site(s) were used to code/document this
indicator:
http://en.wikipedia.org/wiki/Percentile_rank
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