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

[Gabor Grothendieck]

Yes, try this:

> library(TTR)
> set.seed(1)
> x <- xts(rnorm(10), Sys.Date() - 1:10)
> runSD(x, 3)
                [,1]
2010-02-24        NA
2010-02-25        NA
2010-02-26 0.5615778
2010-02-27 0.1272629
2010-02-28 0.8369966
2010-03-01 0.7139071
2010-03-02 1.2083371
2010-03-03 1.2158018
2010-03-04 1.2207208
2010-03-05 0.5383504
> rollapply(x, 3, sd, align = "right", na.pad = TRUE)

2010-02-24        NA
2010-02-25        NA
2010-02-26 0.5615778
2010-02-27 0.1272629
2010-02-28 0.8369966
2010-03-01 0.7139071
2010-03-02 1.2083371
2010-03-03 1.2158018
2010-03-04 1.2207208
2010-03-05 0.5383504


On Sat, Mar 6, 2010 at 9:15 PM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
> 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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