[R] Returning highs and lows in R

[Bert Gunter]

Jason:

Please read AND FOLLOW the posting guide on how to ask clear
questions. Here, you need to more carefully define what you mean by
"the last 3 days." Do you mean:(a) the last 3 values in the series
(including or excluding the present one?) or the last 3 calendar days
-- e.g. for 10-05, only 10-05 and 10-04, since 10-01 is not within the
last 3 calendar days.Also, do you have missing values, and, if so, how
do you want to handle them.

If you mean the former, for small amounts of data without any
missings(say 100 million numeric values or less) and small n (like
n=3), it's easy and should be pretty fast just to produce lagged
columns and use pmax rowwise. If you mean the latter and have missing
values, it may be considerably more difficult.

However, offering anything more seems pointless until you have
adequately specified what you want. Reproducible data and code for a
start.

Cheers,
Bert

On Thu, Oct 28, 2010 at 9:27 AM, Jason Kwok <jaykwok at gmail.com> wrote:
> I'm having trouble returning a rolling n period highest value for a data
> set.  For each day I want to calculate the highest value over the last 3
> days.  I am using the following packages: zoo, xts, quantmod and TTR.
>
> Thanks, Jason
>
>           GLD.Close
> 2010-10-01    128.91
> 2010-10-04    128.46
> 2010-10-05    130.99
> 2010-10-06    131.81
> 2010-10-07    130.37
> 2010-10-08    131.66
> 2010-10-11    132.29
> 2010-10-12    131.96
> 2010-10-13    134.07
> 2010-10-14    134.75
> 2010-10-15    133.68
> 2010-10-18    134.28
> 2010-10-19    130.11
> 2010-10-20    131.32
> 2010-10-21    129.47
> 2010-10-22    129.73
> 2010-10-25    130.85
> 2010-10-26    130.88
> 2010-10-27    129.52
>>
>
>        [[alternative HTML version deleted]]
>
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> and provide commented, minimal, self-contained, reproducible code.
>



-- 
Bert Gunter
Genentech Nonclinical Biostatistics