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rfinancerollapply

rollapply with a function taking a matrix returns "incorrect number of dimensions"

I designed my own function called SharpeRatio(data)

Where data is an nx2 matrix.

The function works fine for a given matrix dat, however when I try to use rollapply(dat, 20, SharpeRatio) I get the following error: Error in dat[, 1] : incorrect number of dimensions

The following is the function definition:

SharpeRatio <- function(dat){
  Returns = dat[,1]
  RiskFree = dat[,2]

  ER = (Returns - RiskFree)/100
  Volatility = sd(Returns/100)
  return((exp(mean(log(1+ER))) - 1)/Volatility)
}
Solution

  • rollapply works by column unless the by.column=FALSE argument is used so try this:

    rollapply(dat, 20, SharpeRatio, by.column = FALSE)