Say I want to use rollapply with a function that returns more than on value. Like this:
library(quantmod)
getSymbols("YHOO")
openYHOO <- YHOO[1:10,1]
rollapply(openYHOO, width = 2, range)
I get an error. I also tried merging the results inside the function:
rollapply(openYHOO, width = 2, function(x) {
cbind(range(x))
})
rollapply(openYHOO, width = 2, function(x) {
merge(range(x))
})
More errors.
I can do this:
cbind(
rollapply(openYHOO, width = 2, function(x) {
range(x)[1]
}),
rollapply(openYHOO, width = 2, function(x) {
range(x)[2]
})
)
...and it works.
However, what if I want to call fivenum or use something much more complicated and computationally intensive in the fun argument? Do I have to call rollapply for each value that I want to return, generating the same object over and over again?
Am I missing something or should I abandon rollapply and roll my own rolling window function?
Can you explain why this rollapply(openYHOO, width = 2, range) does not work?
Use the by.column argument
rollapply(openYHOO, width=2, range, by.column=FALSE)
# [,1] [,2]
#2007-01-03 NA NA
#2007-01-04 25.64 25.85
#2007-01-05 25.64 26.70
#2007-01-08 26.70 27.70
#2007-01-09 27.70 28.00
#2007-01-10 27.48 28.00
#2007-01-11 27.48 28.76
#2007-01-12 28.76 28.98
#2007-01-16 28.98 29.88
#2007-01-17 29.40 29.88
> rollapply(openYHOO, width=2,
function(x) fivenum(as.numeric(x)),
by.column=FALSE)
# [,1] [,2] [,3] [,4] [,5]
#2007-01-03 NA NA NA NA NA
#2007-01-04 25.64 25.64 25.745 25.85 25.85
#2007-01-05 25.64 25.64 26.170 26.70 26.70
#2007-01-08 26.70 26.70 27.200 27.70 27.70
#2007-01-09 27.70 27.70 27.850 28.00 28.00
#2007-01-10 27.48 27.48 27.740 28.00 28.00
#2007-01-11 27.48 27.48 28.120 28.76 28.76
#2007-01-12 28.76 28.76 28.870 28.98 28.98
#2007-01-16 28.98 28.98 29.430 29.88 29.88
#2007-01-17 29.40 29.40 29.640 29.88 29.88