PerformanceAnalytics (version 0.9.5)

rollingStat: 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

Value

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