Thanks for the help.
I'm looking to calculate rolling max and means for the last 3 observations
in my data including AND not including the current observation. I'm not
sure how to offset the observations used.
For the 3 period max, I would like to return the max value over the last 3
observations not including today. When I use the rollapply function to take
the max, it will look look back 1 observation, take the current observation
and look forward 1 observation. I would like to return look back
observations 1-3 and return the max.
> merge(xx,rollapply(xx,3,max))
GLD.Close GLD.Close.1
2010-04-01 110.26 NA
2010-04-05 110.89 111.03
2010-04-06 111.03 112.49
2010-04-07 112.49 112.65
2010-04-08 112.65 113.64
2010-04-09 113.64 113.64
2010-04-12 113.01 113.64
2010-04-13 112.69 113.03
2010-04-14 113.03 113.65
2010-04-15 113.65 113.65
2010-04-16 111.24 113.65
2010-04-19 111.15 111.46
2010-04-20 111.46 112.31
2010-04-21 112.31 112.31
2010-04-22 111.84 113.19
2010-04-23 113.19 113.19
2010-04-26 112.75 114.63
2010-04-27 114.63 114.63
2010-04-28 114.31 114.63
2010-04-29 114.28 115.36
2010-04-30 115.36 NA
On Thu, Oct 28, 2010 at 12:45 PM, Bert Gunter <gunter.ber...@gene.com>wrote:
> Jason:
>
> Please read AND FOLLOW the posting guide on how to ask clear
> questions. Here, you need to more carefully define what you mean by
> "the last 3 days." Do you mean:(a) the last 3 values in the series
> (including or excluding the present one?) or the last 3 calendar days
> -- e.g. for 10-05, only 10-05 and 10-04, since 10-01 is not within the
> last 3 calendar days.Also, do you have missing values, and, if so, how
> do you want to handle them.
>
> If you mean the former, for small amounts of data without any
> missings(say 100 million numeric values or less) and small n (like
> n=3), it's easy and should be pretty fast just to produce lagged
> columns and use pmax rowwise. If you mean the latter and have missing
> values, it may be considerably more difficult.
>
> However, offering anything more seems pointless until you have
> adequately specified what you want. Reproducible data and code for a
> start.
>
> Cheers,
> Bert
>
> On Thu, Oct 28, 2010 at 9:27 AM, Jason Kwok <jayk...@gmail.com> wrote:
> > I'm having trouble returning a rolling n period highest value for a data
> > set. For each day I want to calculate the highest value over the last 3
> > days. I am using the following packages: zoo, xts, quantmod and TTR.
> >
> > Thanks, Jason
> >
> > GLD.Close
> > 2010-10-01 128.91
> > 2010-10-04 128.46
> > 2010-10-05 130.99
> > 2010-10-06 131.81
> > 2010-10-07 130.37
> > 2010-10-08 131.66
> > 2010-10-11 132.29
> > 2010-10-12 131.96
> > 2010-10-13 134.07
> > 2010-10-14 134.75
> > 2010-10-15 133.68
> > 2010-10-18 134.28
> > 2010-10-19 130.11
> > 2010-10-20 131.32
> > 2010-10-21 129.47
> > 2010-10-22 129.73
> > 2010-10-25 130.85
> > 2010-10-26 130.88
> > 2010-10-27 129.52
> >>
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >
>
>
>
> --
> Bert Gunter
> Genentech Nonclinical Biostatistics
>
[[alternative HTML version deleted]]
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