Hi Jason,
Please consider the following example:
> require(zoo)
> z2 <- zoo(rnorm(6))
> z2
1 2 3 4 5 6
-0.53305704 -1.09374867 1.55171109 -0.05830751 -0.25987647 -0.02009973
> rollapply(z2, 3, max, by = 1)
2 3 4 5
1.55171109 1.55171109 1.55171109 -0.02009973
See ?rollapply for more information.
HTH,
Jorge
On Thu, Oct 28, 2010 at 12:27 PM, Jason Kwok <> 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.
>
[[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.
