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

[Gabor Grothendieck]

You likely want just this:

diff(log(closes['2010-02-05::']))

or this:

   rollapply(as.zoo(whatever), ...)

(Actually I would have thought your command would have worked since
your object inherits from zoo and will check it out.)

On Fri, Mar 5, 2010 at 11:15 AM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
> Yep that's where I am now
>
> When I try
>
> getSymbols('AAPL')
> closes = Cl(AAPL)
> change = rollapply(closes['2010-02-25::'],width=2, function(x) { log(x[2]/x[1])}, by=1, align = "right", na.pad = TRUE)
>
> I end up with
>
> Error in switch(deparse(substitute(FUN)), mean = return(rollmean(data,  :
>  switch: EXPR must return a length 1 vector
>
> this was what I expected
>
> rollapply(zoo(1:10), 2, sum, na.pad = TRUE, by = 1, align="right")
>  1  2  3  4  5  6  7  8  9 10
> NA  3  5  7  9 11 13 15 17 19
>
> On Mar 5, 2010, at 9:17 PM, Judson m 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
>>
>> I am pretty sure that rollapply in the ZOO library would work for you.
>>
>>
>
>
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>
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