I was able to get what I wanted using the lag function to offset an addition
period.

lag(rollapply(xx,3,max),-2) or lag(rollapply(xx,3,max,align="right"),-1)

Thanks.

Jason


On Thu, Oct 28, 2010 at 1:49 PM, Jason Kwok <jaykwok@gmail.com> wrote:

> I figured out how to offset my observations by 1 period by using the
> rollapply(xx,3,max,align="right"), which would calculate the mean for
> (current observation, obs - 1 and obs -2 ).   How would I further offset by
> 1 more period?
>
> Thanks,
>
> Jason
>
> On Thu, Oct 28, 2010 at 1:29 PM, Jason Kwok <jaykwok@gmail.com> wrote:
>
>> Thanks for the help.
>>
>> I'm looking to calculate rolling max and means for the last 3 observations
>> in my data including AND not including the current observation.  I'm not
>> sure how to offset the observations used.
>>
>> For the 3 period max, I would like to return the max value over the last 3
>> observations not including today.  When I use the rollapply function to take
>> the max, it will look look back 1 observation, take the current observation
>> and look forward 1 observation.  I would like to return look back
>> observations 1-3 and return the max.
>>
>> > merge(xx,rollapply(xx,3,max))
>>            GLD.Close GLD.Close.1
>> 2010-04-01    110.26          NA
>> 2010-04-05    110.89      111.03
>> 2010-04-06    111.03      112.49
>> 2010-04-07    112.49      112.65
>> 2010-04-08    112.65      113.64
>> 2010-04-09    113.64      113.64
>> 2010-04-12    113.01      113.64
>> 2010-04-13    112.69      113.03
>> 2010-04-14    113.03      113.65
>> 2010-04-15    113.65      113.65
>> 2010-04-16    111.24      113.65
>> 2010-04-19    111.15      111.46
>> 2010-04-20    111.46      112.31
>> 2010-04-21    112.31      112.31
>> 2010-04-22    111.84      113.19
>> 2010-04-23    113.19      113.19
>> 2010-04-26    112.75      114.63
>> 2010-04-27    114.63      114.63
>> 2010-04-28    114.31      114.63
>> 2010-04-29    114.28      115.36
>> 2010-04-30    115.36          NA
>>
>>
>> On Thu, Oct 28, 2010 at 12:45 PM, Bert Gunter <gunter.berton@gene.com>wrote:
>>
>>> 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@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]]
>>> >
>>> > ______________________________________________
>>> > R-help@r-project.org mailing list
>>> > https://stat.ethz.ch/mailman/listinfo/r-help
>>> > PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> > and provide commented, minimal, self-contained, reproducible code.
>>> >
>>>
>>>
>>>
>>> --
>>> Bert Gunter
>>> Genentech Nonclinical Biostatistics
>>>
>>
>>
>

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