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TTR (version 0.2)
rollSFM: Analysis of Running/Rolling/Moving Windows
Description
Various functions to analyze data over a moving window of periods.
Usage
rollSFM(Ra, Rb, n = 60)
Arguments
Ra
Object coercible to xts or matrix, containing the excess return for an individual security
Rb
Object coercible to xts or matrix, containing the market / benchmark return
n
Number of periods to use in the window
Value
A object of the same class as
Ra
(and
Rb
?) or a vector (if
try.xts
fails). [object Object]
References
The following site(s) were used to code/document this indicator:
http://en.wikipedia.org/wiki/Simple_linear_regression