Hi,

first I would like to say thanks to the developer(s) of the TTR package, I
am using it in almost all of my financial research. Currently I am working
on a filter for volatility spikes, and therefore a new function for the
analysis of moving windows would be useful.

The package already contains runSum, runMedian, runMean, ... functions. I
need a function that calculates a given quantile of the past n
observations.

Something like

runQuantile(x, n=50, prob)

The results of the function runQuantile(x, 50, .5) would be equivalent to
runMedian(x, 50)

It would be great if such a function could be implemented into TTR. If
somebody knows a workaround to achieve the same result, please let me know.

Best regards,

Andreas

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