Is there a simple function in R to get a moving standard deviation (i.e. for the last x samples)? My goal is to plot bollinger bands around a moving average for price data. I use kernel smoothing for the moving average. cheers and thanks! over and out -- doktora
A search for "moving standard deviation" at www.r-project.org ->
search -> "R site search" just produced 7 matches. Please look at
those
and let us know if none of those help you (and what you tried that
didn't work).
spencer graves
doktora v wrote:
>Is there a simple function in R to get a moving standard deviation
>(i.e. for the last x samples)?
>
>My goal is to plot bollinger bands around a moving average for price
>data. I use kernel smoothing for the moving average.
>
>cheers and thanks!
>over and out
>-- doktora
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
>
>
--
Spencer Graves, PhD, Senior Development Engineer
O: (408)938-4420; mobile: (408)655-4567
A simple for loop does the job. Why not write your own function?
movsd <- function(series,lag)
{
movingsd <- vector(mode="numeric")
for (i in lag:length(series))
{
movingsd[i] <- sd(series[(i-lag+1):i])
}
assign("movingsd",movingsd,.GlobalEnv)
}
This is very efficient: it takes (much) less time to write from
scratch than to look for an existing function.
HTH,
b.
-----Original Message-----
From: doktora v
Sent: Monday, December 13, 2004 1:46 PM
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Moving standard deviation?
I have tried there but didn't find anything useful. Most of the
matches are for functions which take a std dev input, and the
"moving"
part of the query relates to something else (like moving average in
the qcc package).
Anyway, it's not too difficult to create the function, but I was
wondering if anyone had done it before. Efficiency is a
concideration,
naturally.
I'll post what i come up with...
cheers
dok
On Mon, 13 Dec 2004 10:04:59 -0800, Spencer Graves
<spencer.graves at pdf.com> wrote:> A search for "moving standard deviation" at
www.r-project.org
->> search -> "R site search" just produced 7 matches. Please
look at
those> and let us know if none of those help you (and what you tried that
> didn't work).
>
> spencer graves
>
> doktora v wrote:
>
> >Is there a simple function in R to get a moving standard deviation
> >(i.e. for the last x samples)?
> >
> >My goal is to plot bollinger bands around a moving average for
price> >data. I use kernel smoothing for the moving average.
> >
> >cheers and thanks!
> >over and out
> >-- doktora
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html> >
> >
>
> --
> Spencer Graves, PhD, Senior Development Engineer
> O: (408)938-4420; mobile: (408)655-4567
>
>
______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
__________________________________
Jazz up your holiday email with celebrity designs. Learn more.
Thanks for the hint on qcc. As for bollinger bands a generic porcess was put up
by Gabor Grothendieck.
http://finzi.psych.upenn.edu/R/Rhelp02a/archive/22367.html
You might also like to have a look at the Rmetrics (fBasics, fSeries etc),
in particular RollingAnalysis {fSeries}
Tom
> -----Original Message-----
> From: doktora v [mailto:doktora at gmail.com]
> Sent: Tuesday, 14 December 2004 2:46 AM
> To: Spencer Graves
> Cc: r-help at stat.math.ethz.ch
> Subject: Re: [R] Moving standard deviation?
>
>
> I have tried there but didn't find anything useful. Most of the
> matches are for functions which take a std dev input, and the
"moving"
> part of the query relates to something else (like moving average in
> the qcc package).
>
> Anyway, it's not too difficult to create the function, but I was
> wondering if anyone had done it before. Efficiency is a concideration,
> naturally.
>
> I'll post what i come up with...
>
> cheers
> dok
>
>
> On Mon, 13 Dec 2004 10:04:59 -0800, Spencer Graves
> <spencer.graves at pdf.com> wrote:
> > A search for "moving standard deviation" at
www.r-project.org ->> search -> "R site search" just produced 7 matches. Please
look at those
> and let us know if none of those help you (and what you tried that
> didn't work).
>
> spencer graves
>
> doktora v wrote:
>
> >Is there a simple function in R to get a moving standard deviation
> >(i.e. for the last x samples)?
> >
> >My goal is to plot bollinger bands around a moving average for price
> >data. I use kernel smoothing for the moving average.
> >
> >cheers and thanks!
> >over and out
> >-- doktora
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html
> >
> >
>
> --
> Spencer Graves, PhD, Senior Development Engineer
> O: (408)938-4420; mobile: (408)655-4567
>
>
______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html