[R-SIG-Finance] Standard Deviations using Sliding window?

[Joshua Ulrich]

On Thu, Mar 4, 2010 at 8:15 PM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
> Here was a naive attempt to do standard deviation with sliding window
>>require(quantmod)
>>getSymbols("AAPL")
>> AAPL$STDDEV = sd(Cl(AAPL), 20)
>> AAPL$SMA = SMA(Cl(AAPL), 10)
>> AAPL
>
> apparently sd doesn't work with a sliding window where was SMA does so it seems

No, sd doesn't work with a sliding window, but there's nothing in ?sd
to indicate that it would.

> I need to look at SMA to see how the sliding window code is handled and write my
> own sd that uses a sliding window?
>
Yes, or you can just use the runSD function in TTR. ;-)

> the SD columns up the same for all rows which isn't what I want.
>
but that's exactly what it's documented to do...

Best,
Josh
--
Joshua Ulrich
FOSS Trading: www.fosstrading.com

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