| apply.rolling {PerformanceAnalytics} | R Documentation |
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.
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 |
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 |
A timeseries in a zoo object of the calculation results
Peter Carl
data(managers) apply.rolling(managers[,1,drop=FALSE], FUN="mean", width=36)