[R-SIG-Finance] Locating peaks in zoo objects in one go

[Josh Ulrich]

Try this:

> require(xts)
> vix <- as.xts(VIX)
> vix[vix > 70]
           Close
2008-10-17 70.33
2008-10-24 79.13
2008-10-27 80.06
2008-11-19 74.26
2008-11-20 80.86
2008-11-21 72.67
> index(vix[vix > 70])
[1] "2008-10-17" "2008-10-24" "2008-10-27"
[4] "2008-11-19" "2008-11-20" "2008-11-21"

HTH,
Josh
--
http://quantemplation.blogspot.com
http://www.fosstrading.com


On Thu, Mar 5, 2009 at 9:00 AM, Vorlow Constantinos <CVorlow at eurobank.gr> wrote:
> Dear R users,
>
> The following code will download the VIX volatility index to a variable
> called "VIX" (what else)...
>
> library(tseries)
> VIX <- get.hist.quote("^VIX", start = "1990-01-01", quote = "Close")
>
> Is there a way I could determine (in one go or iteratively), where the
> peaks (local maxima) lie in the sequence
> (say by using an arbitrary rule i.e., locate prices which are greater
> than x% the sample's average or a certain value) ???
>
> I would like to be able to capture the prices as well as their
> time-stamps....
>
> Thanks in advance &
> Best regards,
>
> Costas Vorlow
>
>
>
> P Think before you print.
>
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