[R] apply.rolling() to a multi column timeSeries

[Gabor Grothendieck]

On Fri, Mar 4, 2011 at 10:47 AM, William Mok <wwl_mok at yahoo.co.uk> wrote:
> Hello there,
>
>
> I am trying to compute the 3 months return momentum with the timeSeries x.ts,
> which is just a subset of simple returns from a much bigger series,
>
>> class(x.ts)
> [1] "timeSeries"
> attr(,"package")
> [1] "timeSeries"
>
>> dim(x.ts)
> [1] 20  3
>
>> x.ts[1:8,]
> GMT
>                 MS.US      AAPL.US       CA.FP
> 1996-01-31  0.15159065 -0.133391894  0.10602243
> 1996-02-29 -0.00692633 -0.004488850  0.03986648
> 1996-03-29  0.06511157 -0.106763636  0.07930919
> 1996-04-30 -0.04803468 -0.007653477  0.09490285
> 1996-05-31  0.08715949  0.071709879  0.05126406
> 1996-06-28 -0.03586503 -0.196141479   0.01908068
> 1996-07-31 -0.10941283  0.047619048 -0.04993095
> 1996-08-30 -0.01720023  0.102363636 -0.06605725
>
> Then, I ran the following,
>
> f <- function(xIn) {prod(1 + xIn)}
> tmp.ts <- apply.rolling(x.ts[,, drop = FALSE], FUN=f, width=3)
> xMom.ts <- tmp.ts - 1
>
> where,
>
>> xMom.ts[1:8,]
> GMT
>                  calcs
> 1996-01-31           NA
> 1996-02-29           NA
> 1996-03-29  0.218076872
> 1996-04-30  0.006926330
> 1996-05-31  0.102324581
> 1996-06-28 -0.002179951
> 1996-07-31 -0.066514593
> 1996-08-30 -0.156122673
>
> It seems that apply.rolling() only executed for the first column "MS.US" but not
>
> column 2 nor 3.
>
> Q: Apart from looping through the column index manually via a for loop, which is
>
> not ideal in R, is there any other way to execute the function for  every column
>
> in this setup?
>

The rollapply function in zoo works by column by default:

Lines <- "Date MS.US      AAPL.US       CA.FP
1996-01-31  0.15159065 -0.133391894  0.10602243
1996-02-29 -0.00692633 -0.004488850  0.03986648
1996-03-29  0.06511157 -0.106763636  0.07930919
1996-04-30 -0.04803468 -0.007653477  0.09490285
1996-05-31  0.08715949  0.071709879  0.05126406
1996-06-28 -0.03586503 -0.196141479   0.01908068
1996-07-31 -0.10941283  0.047619048 -0.04993095
1996-08-30 -0.01720023  0.102363636 -0.06605725"

library(zoo)
z <- read.zoo(textConnection(Lines), header = TRUE)

f <- function(xIn) prod(1 + xIn)
rollapply(z, 3, f, na.pad = TRUE, align = "right")

The last line produces:

> rollapply(z, 3, f, na.pad = TRUE, align = "right")
               MS.US   AAPL.US     CA.FP
1996-01-31        NA        NA        NA
1996-02-29        NA        NA        NA
1996-03-29 1.2180769 0.7706111 1.2413304
1996-04-30 1.0069263 0.8824211 1.2288505
1996-05-31 1.1023246 0.9499636 1.2423194
1996-06-28 0.9978200 0.8549096 1.1729945
1996-07-31 0.9334854 0.9025271 1.0178307
1996-08-30 0.8438773 0.9283418 0.9042406



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