PerformanceAnalytics (version 1.1.0)

apply.rolling: calculate a function over a rolling window

Description

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

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

Details

Wrapper function for rollapply to hide some of the complexity of managing single-column zoo objects.

See Also

apply rollapply

Examples

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