I figured out how to offset my observations by 1 period by using the rollapply(xx,3,max,align="right"), which would calculate the mean for (current observation, obs - 1 and obs -2 ). How would I further offset by 1 more period?
Thanks, Jason On Thu, Oct 28, 2010 at 1:29 PM, Jason Kwok <jayk...@gmail.com> wrote: > 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]] ______________________________________________ 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.
