[R-SIG-Finance] Fwd: [R] dynamic runSum

[Ilya Kipnis]

I am echoing this question. The only thing I can think of is to do
however many separate runSums, and then just loop across columns. It's
relevant to me due to John Ehlers's algorithms having a dynamic
lookback period. Thanks.

On Fri, Aug 8, 2014 at 2:49 AM, amarjit chandhial
<a.chandhial at btinternet.com> wrote:
>
> Hello,
>
>
> I am cross-posting to R-finance as this is finance-orientated.
>
>
>
> Amarjit
>
>
>
> ----Original message----
> >From : a.chandhial at btinternet.com
> Date : 07/08/2014 - 14:32 (GMTST)
> To : r-help at r-project.org
> Subject : [R] dynamic runSum
>
> Hello,
> runSum calculates a running sum looking back a fixed distance n, e.g. 20.
> How do I calculate a dynamic runSum function for an xts object?
> In
> otherwords, I want to calculate a running sum at each point in time
> looking back a variable distance. In this example, values governed by
> the vector VL.
> Here's a minimum reproducible example:
>
>  library(quantstrat)
> symbols = c('^GSPC')
>
>  start.date <- as.Date("2010-01-01")
>  end.date <- as.Date("2013-12-31")
>
>  getSymbols(symbols, from=as.character(start.date), to=as.character(end.date),adjust=T)
>
>  "acF1" <- function(x, n1=5, n2=10, n3=20, nacF1=25, n0=20, ...) {
>     var1 <- x - lag(x,1,na.pad=T)
>     var2 <- runSD(x, n=n1, sample=TRUE, cumulative=FALSE)
>     var3 <- runMean(var2, n=n2, cumulative=FALSE)
>     VL <- ifelse( trunc(n3/(var2/var3))>nacF1, nacF1, trunc(n3/(var2/var3)))
>     p_pos <- ifelse(var1>=0, var1, 0)
>     out1 <- runSum(p_pos,  n=n0, cumulative=FALSE)
>
>     res <- cbind(var1, var2, var3, VL, p_pos, out1)
>     colnames(res) <- c("var1","var2","var3","VL", "p_pos", "out1")
>
>     reclass(res)
>  }
>
>
>  acf1 <- acF1( GSPC[,c("GSPC.Close")], n1=5, n2=10, n3=20, nacF1=25, n0=20)
>  acf1
>
>
> So on
> 2010-02-02, I want runSum to be looking back 23 points as governed by VL , not 20 points
> 2010-02-03, I want runSum to be looking back 24 points as governed by VL,  not 20 points
>  etc etc
>  2013-12-31, I want runSum to be looking back 25 points as governed by VL, not 20 points
>
>
> Amarjit
>
>
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