[R-SIG-Finance] Length of a curve?
wlblount
bill at easterngrain.com
Wed Apr 24 13:26:21 CEST 2013
how would i calculate the length of this plot for a trading day? i am using
ibrokers data for stocks in 3 min. bars
library(quantmod)
load("~/R/UVXY") #3 min xts stock data
reg10 <- rollSFM(Cl(pricedata),seq(nrow(pricedata)),10)
rma10 <- reg10$alpha + reg10$beta*seq(nrow(pricedata))
i am looking for the length of the rma10 plot for one trading day (ie. if it
were a piece of string, the measurement once straightened out) . i would
like to compare this measurement to the same measurement for previous days
(regular trading hours 9:30am-4:00pm).
sorry for the non-technical language. Bill
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