rollingFunction {PerformanceAnalytics} | R Documentation

## wrapper to apply functions over a rolling period

### Description

This is a wrapper for providing n-period trailing calculations for the data and functions provided.

### Usage

    rollingFunction(R, width, trim = TRUE, na.rm = TRUE, digits = 4, rf = 0, FUN = "mean", ...)

### Arguments

`R` | a vector, matrix, data frame, timeSeries or zoo object of asset returns
`width` | the number of periods over which a function is to be calculated. Use the value zero (0) to roll the statistic from inception
`trim` | TRUE/FALSE, whether to keep alignment caused by NA's
`na.rm` | TRUE/FALSE Remove NA's from the returns?
`digits` | number of digits to round results to
`rf` | risk free rate, in same period as your returns
`FUN` | function to apply rolling period over
`...` | any other passthru parameters

### Details

Examples:

    > rollingFunction(gg.ts[,1],n=3,FUN="Return.annualized")
                        Manager
    2002-02-28           0.0306
    2002-03-31           0.0521
    2002-04-30           0.0387
    ...

    > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="Return.annualized")
                        Manager
    2001-12-31               NA
    2002-01-31               NA
    2002-02-28           0.0306
    2002-03-31           0.0521
    2002-04-30           0.0387
    ...
    > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="SharpeRatio.annualized")
                        Manager
    2001-12-31               NA
    2002-01-31               NA
    2002-02-28           1.5302
    2002-03-31           4.3768
    2002-04-30           6.9640
    ...
    > rollingFunction(gg.ts[,1],n=3,trim=FALSE,FUN="SharpeRatio.annualized",rf=.03/12)
                        Manager
    2001-12-31               NA
    2002-01-31               NA
    2002-02-28           0.0298
    2002-03-31           1.8587
    2002-04-30           1.5598

### Value

results over a rolling period

### Note

Inspired by `rollFun` written by Diethelm Wurtz. We've extended the idea to all the columns provided.

### Author(s)

Peter Carl

### References

### See Also

`rollFun`

### Examples

[Package PerformanceAnalytics version 0.9.5 Index]