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

[Robert Nicholson]

currently using rollapply with sd so I assume that will do the same as runSD

On Mar 5, 2010, at 9:23 AM, Joshua Ulrich wrote:

> 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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