apply.rolling {PerformanceAnalytics} | R Documentation |

## calculate a function over a rolling window

### Description

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

Wrapper function for `rollapply`

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

### Usage

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

### Arguments

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

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

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

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

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

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

`...` |
any other passthru parameters |

### Value

A timeseries in a zoo object of the calculation results

### Author(s)

Peter Carl

### See Also

`apply`

`rollapply`

### Examples

data(managers)
apply.rolling(managers[,1,drop=FALSE], FUN="mean", width=36)

[Package

*PerformanceAnalytics* version 0.9.9-5

Index]