[R-SIG-Finance] Vectorized rolling computation on xts series

[Shane]

I think you want the apply.monthly function in xts. It also has other  
time periods (eg daily).

You may also want to look at rollapply in zoo.

Sent from my iPhone

On Oct 7, 2009, at 4:05 AM, Mark Breman <breman.mark at gmail.com> wrote:

> Hi,
> I have a univariate xts timeseries (daily data) for which I need to  
> apply a
> computation for each element. The computation for element x needs  
> the last y
> months of the data from the timeseries. What's more, I need a  
> "vectorized"
> computation because looping over all elements is too slow (it's a  
> large
> timeseries).
>
> I think this is what is called a "rolling" or "running" computation  
> in R.
>
> The computation I need to do for element x is:
> - calculate the percentage of the value x within the range of values  
> from
> the last y months, i.e. determine the min() and max() of the last y  
> months
> of data (including x), and determine what percentage of this range  
> the value
> x is. For example: min(last 1 months) == 10, max(last 1 months) ==  
> 50, x ==
> 20 would yield: 25%
> - elements for which y months of previous data (including x itself)  
> is not
> available should become NaN or some other "special value".
>
> An example
> So let's say I have a timeseries called "data":
>
>> data
>           NonCommNet
> 1995-01-03      44580
> 1995-01-04      44580
> 1995-01-05      44580
> 1995-01-06      44580
> 1995-01-09      44580
> 1995-01-10      32835
> 1995-01-11      32835
> 1995-01-12      32835
> 1995-01-13      32835
> 1995-01-16      32835
> 1995-01-17      38385
> 1995-01-18      38385
> 1995-01-19      38385
> 1995-01-20      38385
> 1995-01-23      38385
> 1995-01-24      19150
> 1995-01-25      19150
> 1995-01-26      19150
> 1995-01-27      19150
> 1995-01-30      19150
> 1995-01-31      15245
> 1995-02-01      15245
> 1995-02-02      15245
> 1995-02-03      15245
> 1995-02-06      15245
> 1995-02-07      24110
> 1995-02-08      24110
> 1995-02-09      24110
> 1995-02-10      24110
> 1995-02-13      24110
> 1995-02-14      17615
> 1995-02-15      17615
> 1995-02-16      17615
> 1995-02-17      17615
> 1995-02-21     -23080
> 1995-02-22     -23080
> 1995-02-23     -23080
> 1995-02-24     -23080
> 1995-02-27     -23080
> 1995-02-28     -17445
>
> I tried the following "vectorized" solution ( example with y = 1  
> month):
>> ((data - min(last(data, "1 months"))) / (max(last(data, "1  
>> months")) -
> min(last(data, "1 months")))) * 100
>           NonCommNet
> 1995-01-03  143.37783
> 1995-01-04  143.37783
> 1995-01-05  143.37783
> 1995-01-06  143.37783
> 1995-01-09  143.37783
> 1995-01-10  118.48909
> 1995-01-11  118.48909
> 1995-01-12  118.48909
> 1995-01-13  118.48909
> 1995-01-16  118.48909
> 1995-01-17  130.25005
> 1995-01-18  130.25005
> 1995-01-19  130.25005
> 1995-01-20  130.25005
> 1995-01-23  130.25005
> 1995-01-24   89.48930
> 1995-01-25   89.48930
> 1995-01-26   89.48930
> 1995-01-27   89.48930
> 1995-01-30   89.48930
> 1995-01-31   81.21424
> 1995-02-01   81.21424
> 1995-02-02   81.21424
> 1995-02-03   81.21424
> 1995-02-06   81.21424
> 1995-02-07  100.00000
> 1995-02-08  100.00000
> 1995-02-09  100.00000
> 1995-02-10  100.00000
> 1995-02-13  100.00000
> 1995-02-14   86.23649
> 1995-02-15   86.23649
> 1995-02-16   86.23649
> 1995-02-17   86.23649
> 1995-02-21    0.00000
> 1995-02-22    0.00000
> 1995-02-23    0.00000
> 1995-02-24    0.00000
> 1995-02-27    0.00000
> 1995-02-28   11.94109
>
> This does not satisfy my constraints because:
> 1) the first month of data should have become NaN or some other  
> special
> value as there is not a full month of previous data available. I  
> think this
> is caused by the last() function which simply returns the available  
> data if
> the requested amount of data is greater than the available amount of  
> data.
> 2) the results for the second month of data are wrong. For instance  
> look at
> the result for 1995-02-06 which is 81.21424%. This should have been  
> 0%. The
> last months min() is 15245 (from 1995-02-06), the max() is 44580 (from
> element 1995-01-06) so it should yield 0%.
>
>> From analyzing the results I get the impression that the last()  
>> function is
> not suited for a "vectorized" solution but I'm not really sure...
>
> I also had a look at runMin() and runMax() from the TTR package, but  
> you
> can't specify a calendar range with these functions as you can with  
> last()
> and first() from the xts package.
>
> Now my question is: am I doing something wrong here or do you know  
> another
> vectorized function that satisfies my constraints?
>
> Kind regards,
>
> -Mark-
>
>    [[alternative HTML version deleted]]
>
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