[R] Need help to optimize a piece of code involving zoo objects

[Sergey Goriatchev]

Hello, everyone

I have a long script that uses zoo objects. In this script I used
simple moving averages and these I can very efficiently calculate with
filter() functions.
Now, I have to use special "exponential" moving averages, and the only
way I could write the code was with a for-loop, which makes everything
extremely slow.
I don't know how to optimize the code, but I need to find a solution.
I hope someone can help me.

The special moving average is calculated in the following way:

EMA = ( K x ( C - P ) ) + P

where,

C = Current Value
P = Previous periods EMA    (A SMA is used for the first period's calculation)
K = Exponential smoothing constant

K = 2 / ( 1 + Periods )

Below is the code with the for-loop.

-"temp" contains C
-Periods is variable "j" in the for loop (so K varies)
- I first produce a vector of simple equally weighted moving average,
and use the first non-NA value to initiate the second for-loop

x.Date <- as.Date("2003-02-01") + seq(1,1100) - 1
temp <- zoo(rnorm(1100, 0, 10)+100, x.Date)

start.time <- proc.time()

for(j in seq(5,100,by=5)){

	#PRODUCE FAST MOVING AVERAGE
	#Create equally weighted MA vector (we need only the first value)
	smafast <- zoo(coredata(filter(coredata(temp[,1]), filter=rep(1/j,
j), sides=1)), order.by=time(temp))

	#index of first non-NA value, which is the first SMA needed
	#which(is.na(smafast))[length(which(is.na(smafast)))]+1

	#Calculate decay factor K
	#number of periods is j
	K <- 2/(1+j)

	#Calculate recursively the EMA for the fast index (starting with
second non-NA value)
	for (k in (which(is.na(smafast))[length(which(is.na(smafast)))]+2):length(smafast))
{
		smafast[k] <-
coredata(smafast[k-1])+K*(coredata(temp[k,1])-coredata(smafast[k-1]))
	}

	#PRODUCE SLOW MOVING AVERAGE
	#Create equally weighted MA vector (we need only the first value)
	smaslow <- zoo(coredata(filter(coredata(temp[,1]),
filter=rep(1/(j*4), (j*4)), sides=1)), order.by=time(temp))
	K <- 2/(1+j*4)
#Calculate EMA
	for (k in (which(is.na(smaslow))[length(which(is.na(smaslow)))]+2):length(smaslow))
{
		smaslow[k] <-
coredata(smaslow[k-1])+K*(coredata(temp[k,1])-coredata(smaslow[k-1]))
	}
			
 	#COMBINE DIFFERENCES OF FAST AND SLOW
	temp <- 	merge(temp, ma=smafast-smaslow)
}

proc.time()-start.time

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