Subject: Re: Standard Deviations using Sliding window?
You likely want just this: diff(log(closes['2010-02-05::'])) or this: rollapply(as.zoo(whatever), ...) (Actually I would have thought your command would have worked since your object inherits from zoo and will check it out.) On Fri, Mar 5, 2010 at 11:15 AM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
Yep that's where I am now
When I try
getSymbols('AAPL')
closes = Cl(AAPL)
change = rollapply(closes['2010-02-25::'],width=2, function(x) { log(x[2]/x[1])}, by=1, align = "right", na.pad = TRUE)
I end up with
Error in switch(deparse(substitute(FUN)), mean = return(rollmean(data, ?:
?switch: EXPR must return a length 1 vector
this was what I expected
rollapply(zoo(1:10), 2, sum, na.pad = TRUE, by = 1, align="right")
?1 ?2 ?3 ?4 ?5 ?6 ?7 ?8 ?9 10
NA ?3 ?5 ?7 ?9 11 13 15 17 19
On Mar 5, 2010, at 9:17 PM, Judson m wrote:
Here was a naive attempt to do standard deviation with sliding window
require(quantmod)
getSymbols("AAPL")
AAPL$STDDEV = sd(Cl(AAPL), 20)
AAPL$SMA = SMA(Cl(AAPL), 10)
AAPL
I am pretty sure that rollapply in the ZOO library would work for you.
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