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malfunction
2011 Oct 22
1
Help w/an old R program I've rediscovered and want to make work
...- sample(data$gspc, replace = FALSE) # resampling here without
replacement = permutations, not bootstrap
# computing period returns
MCP <- MCP[1:(WindowPeriod*PeriodsNumber)] #loses last few elements
MCPsplitlist <- 1:PeriodsNumber
MCPsplitlist <- rep(MCPsplitlist, each=WindowPeriod)
MCPfunction <- function(y) {cumprod(1+y)* c(rep(0,WindowPeriod-1),1)}
MCPcumprod <- tapply(MCP, MCPsplitlist, MCPfunction)
MCPcumprod <- unlist(MCPcumprod, use.names=FALSE)
MCPcumprod <- MCPcumprod[MCPcumprod != 0] # makes life easier - It
deletes the very rare 0 x-day returns
if (i==1) result...