apply.rolling

an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns

number of periods to apply rolling function window over

width

TRUE/FALSE, whether to keep alignment caused by NA's

trim

numeric number of periods from start of series to use to train
risk calculation

calculate FUN for trailing width points at every by-th time point.

any function that can be evaluated using a single set of returns
(e.g., rolling beta won't work, but <code><a rd-options="" href="/link/Return.annualized?package=PerformanceAnalytics&version=2.0.4" data-mini-rdoc="PerformanceAnalytics::Return.annualized">Return.annualized</a></code> will)

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

PerformanceAnalytics

apply.rolling function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>
<dt>width</dt>
<dd>number of periods to apply rolling function window over</dd>
<dt>trim</dt>
<dd>TRUE/FALSE, whether to keep alignment caused by NA's</dd>
<dt>gap</dt>
<dd>numeric number of periods from start of series to use to train
risk calculation</dd>
<dt>by</dt>
<dd>calculate FUN for trailing width points at every by-th time point.</dd>
<dt>FUN</dt>
<dd>any function that can be evaluated using a single set of returns
(e.g., rolling beta won't work, but <code>Return.annualized</code> will)</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd></dl>

Arguments

Author

calculate a function over a rolling window — apply.rolling

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>


<dt>width</dt>
<dd>number of periods to apply rolling function window over</dd>


<dt>trim</dt>
<dd>TRUE/FALSE, whether to keep alignment caused by NA's</dd>


<dt>gap</dt>
<dd>numeric number of periods from start of series to use to train
risk calculation</dd>


<dt>by</dt>
<dd>calculate FUN for trailing width points at every by-th time point.</dd>


<dt>FUN</dt>
<dd>any function that can be evaluated using a single set of returns
(e.g., rolling beta won't work, but <code>Return.annualized</code> will)</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>

</dl>

apply.rolling: calculate a function over a rolling window

Description

Usage

Value

Arguments

Author

Details

See Also

Examples