[R-SIG-Finance] rollapply and cummin

[Gabor Grothendieck]

Using gsubfn its also possible to write it in a way which allows the
function body to be specified as a formula for compactness.  Note
the fn$ prefix:

   library(gsubfn)
   fn$rollapply(z, 5, ~ min(cumsum(x)), align = "left")

More at
   http://gsubfn.googlecode.com

On 8/23/07, Voss, Kent <VOSSK at kochind.com> wrote:
> 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
> > >
> > >
> > >
> > >
> > >
> > > "EMF <kochind.com>" made the following annotations.
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