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SMA & large n

5 messages · Anna Dunietz, Joshua Ulrich, Dirk Eddelbuettel +2 more

Joshua Ulrich
# 
After the call to to.monthly(), SPY only has 180 rows.  Quite simply,
you can't take a 377-period MA of a series that only has 180
observations.
--
Joshua Ulrich ?| ?FOSS Trading: www.fosstrading.com
On Tue, Sep 27, 2011 at 7:42 AM, Anna Dunietz <anna.dunietz at gmail.com> wrote:
Dirk Eddelbuettel
#
On 27 September 2011 at 14:42, Anna Dunietz wrote:
| I would like to calculate the 377-day simple moving average on closing
| prices using the SMA function, but an error is always returned:
| 
| 
| 
| SMA(Cl(SPY),n=377)Error in runSum(x, n) : Invalid 'n'
| 
| 
| 
| Here is some code in order for you to quickly reproduce what I am doing:
| 
| 
| 
| getSymbols("SPY", from='1995-01-01', to='2010-01-01',
| index.class=c("POSIXt","POSIXct"))
| 
| SPY = to.monthly(SPY, indexAt='endof')
| 
| mysma<-SMA(Cl(SPY),n=377)

Monthly data from Jan 1995 to Jan 2010 covers 181 months:

   R> mm <- seq(as.Date("1995-01-01"), as.Date("2010-01-01"), by="month")
   R> head(mm)
   [1] "1995-01-01" "1995-02-01" "1995-03-01" "1995-04-01" "1995-05-01" "1995-06-01"
   R> length(mm)
   [1] 181
   R> 

You cannot run a moving average of length 377 over 181 observations.  

Maybe the magic number 377 came from daily data and you now want something
like 377 / 21 or about 18?

Dirk
BBands
#
On Tue, Sep 27, 2011 at 6:02 AM, Dirk Eddelbuettel <edd at debian.org> wrote:
That magic number is the 14th Fibonacci number, which raises an
interesting question. Is there an R resource that allows one to enter
a number and returns a list of which common number series it belongs
to? For example 377 is a member of the Fibonacci series, an odd
number, but it is not prime.

Best,

John
David Reiner
# 
I suppose an interface to Wikipedia might be possible? http://en.wikipedia.org/wiki/377_%28number%29#370s
"377 = 13 ? 29, Fibonacci number, sum of the squares of the first six primes."

Not directly in answer to your question, but I have found these sites very useful for decimals and sequences:

Plouffe's Inverter (for decimals) 3.141592653589793238462: http://pi.lacim.uqam.ca/eng/
and
On-Line Encyclopedia of Integer Sequences(tm) (OEIS(tm)): http://oeis.org/

Hope this helps someone sometime,
-- David


-----Original Message-----
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of BBands
Sent: Tuesday, September 27, 2011 11:51 AM
To: R-sig-finance
Subject: [SPAM] - Re: [R-SIG-Finance] SMA & large n - Email found in subject
On Tue, Sep 27, 2011 at 6:02 AM, Dirk Eddelbuettel <edd at debian.org> wrote:
That magic number is the 14th Fibonacci number, which raises an interesting question. Is there an R resource that allows one to enter a number and returns a list of which common number series it belongs to? For example 377 is a member of the Fibonacci series, an odd number, but it is not prime.

Best,

John

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