[R-SIG-Finance] rollapply and cummin

[Voss, Kent]

Ah, I had never created a function that way in any of the *apply
functions, I learned something new.  Thank you so much.  R and the R
community is just phenomenal...thank you.


Kent Voss
Koch Quantitative Trading
20 East Greenway Plaza, Suite 450
Houston, TX  77046
Phone: 713.544.5140
Fax: 713.544.6506
kent.voss at kochind.com


 

-----Original Message-----
From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com] 
Sent: Thursday, August 23, 2007 7:56 AM
To: Voss, Kent
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] rollapply and cummin

In that case you might prefer:

# test data
set.seed(1)
z <- zoo(rnorm(25))

rollapply(z, 5, function(x) min(cumsum(x)), align = "left")

which (1) works with the old rollapply too since the function returns a
single number and (2) has the advantage of returning a zoo object rather
than a numeric vector so the time information is not lost.

On 8/23/07, Voss, Kent <VOSSK at kochind.com> wrote:
> Thank you so much, the new rollapply worked like a charm.  I 
> retrospect what I was really trying to do (which the new rollapply 
> works perfectly for), is calculate the maximum cumulative loss over
some period.
>
> For the benefit of anyone else who has this problem...
> So with the new rollapply, the following returns an n x m matrix where

> m in the width specified in rollapply and is a cumulative sum over the

> width zl <- rollapply(z, 5, align='left',cumsum)
>
> Then doing an apply gives the minimum for each row, and is the maximum

> cumulative loss over the window.
> zm <- apply(zl, 1, min)
>
> Thank you so much Gabor and Z!!
>
>
>
>
>
> -----Original Message-----
> From: Gabor Grothendieck [mailto:ggrothendieck at gmail.com]
> Sent: Wednesday, August 22, 2007 11:47 PM
> To: Voss, Kent
> Cc: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] rollapply and cummin
>
> The usual case is that the function used in rollapply returns a single

> number; however, if you really want to return a vector of 5 numbers 
> try the latest version of rollapply which was fixed about 2 weeks ago 
> and is not yet on CRAN but can be downloaded from the development
repository.
> From within R:
>
> library(zoo)
> source("http://r-forge.r-project.org/plugins/scmsvn/viewcvs.php/*check
> ou
> t*/pkg/R/rollapply.R?rev=363&root=zoo")
> # ... now run your commands ...
>
>
>
> On 8/22/07, Voss, Kent <VOSSK at kochind.com> wrote:
> > I am getting some unexpected results using rollapply and the cummin
> function that I am hoping someone can help me understand.  I'm just 
> trying to get a rolling cumulative minimum of a time series.  Think of

> it as the maximum loss over a rolling window.
> >
> > Here's an example
> > # Create a dummy sequence to use with a set of dates used to create 
> > a zoo object x <- c(0,rep(c(seq(1,5,by=1),seq(-1,-3, by=-1)),2)) 
> > DateList <- as.Date(seq(ISOdate(1990,1,1), length.out=length(x), 
> > by="1
>
> > day"), '%Y-%m-%d')
> >
> > z <- zoo(x,DateList)
> >
> > # Doing the following gets expected results, a rolling 5 day sum.  
> > So far so good zl <- rollapply(z, 5, align='left',sum)
> >
> > # The following however creates an n x n matrix where n = the length

> > of z, that I can't quite figure out zl <- rollapply(z, 5,
> > align='left',cummin)
> >
> >
> > Now I'm pretty new at this stuff, so I'm sure there's something I'm
> missing, but I can't make heads or tails around the results of the 
> cummin.  Any help would be greatly appreciated.  Thanks in advance.
> >
> > Kent
> >
> >
> >
> >
> >
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