rollingStat {PerformanceAnalytics}R Documentation

wrapper to apply any function over a rolling time window

Description

Function to apply any time series function over a rolling period, say the last three months. Pass in the function name as FUN, e.g., FUN = "mean". Useful for passing in several periods and functions for comparing different series.

Usage

rollingStat(R, period = 3, trim = TRUE, FUN, ...)

Arguments

R a vector, matrix, data frame, timeSeries or zoo object of asset returns
period the number of periods over which to calculate the statistic. Setting the period to 0 calculates the statistic "from inception" or using all of the data passed in
trim TRUE/FALSE, whether to keep alignment caused by NA's
FUN function to apply over e.g., FUN = "mean" or FUN = "Return.cumulative"
... any other passthru parameters

Author(s)

Peter Carl

Examples

    # Example includes how to pass in arguements to the function - must be in order:
    # > rollingStat(gg.ts@Data[,1],period=12,FUN="SharpeRatio.annualized",rf=.03/12)
    # [1] 1.476426
    # > rollingStat(gg.ts@Data[,1],period=3,FUN="SharpeRatio.annualized",rf=.03/12)
    # [1] 6.804358
    # > rollingStat(gg.ts@Data[,1],period=3,FUN="SharpeRatio.annualized",rf=0)
    # [1] 8.253612
[Package PerformanceAnalytics version 0.9.7 Index]