rollingStat {PerformanceAnalytics} | R Documentation

## wrapper to apply any function over a rolling time window

### Description

Function to apply any time series function over a rolling period, say the last three months. Pass in the function name as FUN, e.g., FUN = "mean". Useful for passing in several periods and functions for comparing different series.

### Usage

    rollingStat(R, period = 3, trim = TRUE, FUN, ...)

### Arguments

`R` | a vector, matrix, data frame, timeSeries or zoo object of asset returns
`period` | the number of periods over which to calculate the statistic. Setting the period to 0 calculates the statistic "from inception" or using all of the data passed in
`trim` | TRUE/FALSE, whether to keep alignment caused by NA's
`FUN` | function to apply over e.g., FUN = "mean" or FUN = "Return.cumulative"
`...` | any other passthru parameters

### Details

### Value

### Author(s)

Peter Carl

### References

### See Also

### Examples

        # Example includes how to pass in arguements to the function - must be in order:
        # > rollingStat(gg.ts@Data[,1],period=12,FUN="SharpeRatio.annualized",rf=.03/12)
        # [1] 1.476426
        # > rollingStat(gg.ts@Data[,1],period=3,FUN="SharpeRatio.annualized",rf=.03/12)
        # [1] 6.804358
        # > rollingStat(gg.ts@Data[,1],period=3,FUN="SharpeRatio.annualized",rf=0)
        # [1] 8.253612

[Package PerformanceAnalytics version 0.9.5 Index]