PortfolioAnalytics (version 1.0.3636)

trailingFUN: apply a function over a configurable trailing period

Description

this function is primarily designed for use with portfolio functions passing 'x' or 'R' and weights, but may be usable for other things as well, see Example for a vector example.

Usage

trailingFUN(R, weights, n = 0, FUN, FUNargs = NULL, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

weights

a vector of weights to test

...

any other passthru parameters

n

numeric number of trailing periods

FUN

string describing the function to be called

FUNargs

list describing any additional arguments

Details

called with e.g.

trailingFUN(seq(1:100), weights=NULL, n=12, FUN='mean',FUNargs=list())