Displaying 2 results from an estimated 2 matches for "smafast".
2009 Jun 19
1
(FULL) Need help to optimize a piece of code involving zoo objects
...cond for-loop
x.Date <- as.Date("2003-02-01") + seq(1,1100) - 1
temp <- zoo(rnorm(1100, 0, 10)+100, x.Date)
start.time <- proc.time()
for(j in seq(5,100,by=5)){
? ? ? ?#PRODUCE FAST MOVING AVERAGE
? ? ? ?#Create equally weighted MA vector (we need only the first value)
? ? ? ?smafast <- zoo(coredata(filter(coredata(temp[,1]), filter=rep(1/j,
j), sides=1)), order.by=time(temp))
? ? ? ?#index of first non-NA value, which is the first SMA needed
? ? ? ?#which(is.na(smafast))[length(which(is.na(smafast)))]+1
? ? ? ?#Calculate decay factor K
? ? ? ?#number of periods is j
? ? ?...
2009 Jun 19
1
Need help to optimize a piece of code involving zoo objects
...to initiate the second for-loop
x.Date <- as.Date("2003-02-01") + seq(1,1100) - 1
temp <- zoo(rnorm(1100, 0, 10)+100, x.Date)
start.time <- proc.time()
for(j in seq(5,100,by=5)){
#PRODUCE FAST MOVING AVERAGE
#Create equally weighted MA vector (we need only the first value)
smafast <- zoo(coredata(filter(coredata(temp[,1]), filter=rep(1/j,
j), sides=1)), order.by=time(temp))
#index of first non-NA value, which is the first SMA needed
#which(is.na(smafast))[length(which(is.na(smafast)))]+1
#Calculate decay factor K
#number of periods is j
K <- 2/(1+j)
#Calculate...