check out 'filter' to see if it does what you want with the 'recursive'
option.
On Fri, Jun 19, 2009 at 3:33 AM, Sergey Goriatchev <serg...@gmail.com>wrote:
> Hello, everyone
>
> I have a long script that uses zoo objects. In this script I used
> simple moving averages and these I can very efficiently calculate with
> filter() functions.
> Now, I have to use special "exponential" moving averages, and the only
> way I could write the code was with a for-loop, which makes everything
> extremely slow.
> I don't know how to optimize the code, but I need to find a solution.
> I hope someone can help me.
>
> The special moving average is calculated in the following way:
>
> EMA = ( K x ( C - P ) ) + P
>
> where,
>
> C = Current Value
> P = Previous periods EMA (A SMA is used for the first period's
> calculation)
> K = Exponential smoothing constant
>
> K = 2 / ( 1 + Periods )
>
> Below is the code with the for-loop.
>
> -"temp" contains C
> -Periods is variable "j" in the for loop (so K varies)
> - I first produce a vector of simple equally weighted moving average,
> and use the first non-NA value to initiate the second for-loop
>
> x.Date <- as.Date("2003-02-01") + seq(1,1100) - 1
> temp <- zoo(rnorm(1100, 0, 10)+100, x.Date)
>
> start.time <- proc.time()
>
> for(j in seq(5,100,by=5)){
>
> #PRODUCE FAST MOVING AVERAGE
> #Create equally weighted MA vector (we need only the first value)
> smafast <- zoo(coredata(filter(coredata(temp[,1]), filter=rep(1/j,
> j), sides=1)), order.by=time(temp))
>
> #index of first non-NA value, which is the first SMA needed
> #which(is.na(smafast))[length(which(is.na(smafast)))]+1
>
> #Calculate decay factor K
> #number of periods is j
> K <- 2/(1+j)
>
> #Calculate recursively the EMA for the fast index (starting with
> second non-NA value)
> for (k in (which(is.na(smafast))[length(which(is.na
> (smafast)))]+2):length(smafast))
> {
> smafast[k] <-
> coredata(smafast[k-1])+K*(coredata(temp[k,1])-coredata(smafast[k-1]))
> }
>
> #PRODUCE SLOW MOVING AVERAGE
> #Create equally weighted MA vector (we need only the first value)
> smaslow <- zoo(coredata(filter(coredata(temp[,1]),
> filter=rep(1/(j*4), (j*4)), sides=1)), order.by=time(temp))
> K <- 2/(1+j*4)
> #Calculate EMA
> for (k in (which(is.na(smaslow))[length(which(is.na
> (smaslow)))]+2):length(smaslow))
> {
> smaslow[k] <-
> coredata(smaslow[k-1])+K*(coredata(temp[k,1])-coredata(smaslow[k-1]))
> }
>
> #COMBINE DIFFERENCES OF FAST AND SLOW
> temp <- merge(temp, ma=smafast-smaslow)
> }
>
> proc.time()-start.time
>
> --
> I'm not young enough to know everything. /Oscar Wilde
> Experience is one thing you can't get for nothing. /Oscar Wilde
> When you are finished changing, you're finished. /Benjamin Franklin
> Tell me and I forget, teach me and I remember, involve me and I learn.
> /Benjamin Franklin
> Luck is where preparation meets opportunity. /George Patten
>
> ______________________________________________
> R-help@r-project.org mailing list
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html<http://www.r-project.org/posting-guide.html>
> and provide commented, minimal, self-contained, reproducible code.
>
--
Jim Holtman
Cincinnati, OH
+1 513 646 9390
What is the problem that you are trying to solve?
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