[R-SIG-Finance] Filler necessary
Stampfl Bernd 0969 SPI
Bernd.Stampfl at Sparinvest.com
Fri Apr 20 16:53:05 CEST 2007
I was writing a simple code to compare different Moving Averages (using
rollmean).
CODE:
**************************************************************
FX.Window.A <- 5
FX.Window.B <- 20
FX.Window.Max <- 100
FX.Price <- read.csv("MAFX.csv")
FX.Price <- na.omit(FX.Price[,2])
#summary(FX.Price)
#FX.Date <- na.omit(FX.Price[,1])
#FX.Date
FX.Date <- "2007-01-11"
FX.Price <- zooreg(FX.Price,start=as.Date(FX.Date))
Mean.Result = c()
for(i in 1:FX.Window.Max){
FX.Window.A[i+1] <- rollmean(FX.Price,FX.Window.A[i])
Mean.Result[i]=FX.Window.A[i+1]
}
Rollmean.A <- rollmean(FX.Price,FX.Window.A)
Rollmean.B <- rollmean(FX.Price,FX.Window.B)
**************************************************************
I tried to open a vector for storing the results but I got an error
message - 'cause the longer the windows the less results you get.
Do you know some ways to fill the missing data?
Hope you can help me guys. I just switched to R and therefore a
semi-novice.
Thanks a lot.
Bern
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