Displaying 2 results from an estimated 2 matches for "smaslow".
2009 Jun 19
1
(FULL) Need help to optimize a piece of code involving zoo objects
...ch(is.na(smafast))[length(which(is.na(smafast)))]+2):length(smafast))
{
? ? ? ? ? ? ? ?smafast[k] <-
coredata(smafast[k-1])+K*(coredata(temp[k,1])-coredata(smafast[k-1]))
? ? ? ?}
? ? ? ?#PRODUCE SLOW MOVING AVERAGE
? ? ? ?#Create equally weighted MA vector (we need only the first value)
? ? ? ?smaslow <- zoo(coredata(filter(coredata(temp[,1]),
filter=rep(1/(j*4), (j*4)), sides=1)), order.by=time(temp))
? ? ? ?K <- 2/(1+j*4)
#Calculate EMA
? ? ? ?for (k in
(which(is.na(smaslow))[length(which(is.na(smaslow)))]+2):length(smaslow))
{
? ? ? ? ? ? ? ?smaslow[k] <-
coredata(smaslow[k-1])+K*(co...
2009 Jun 19
1
Need help to optimize a piece of code involving zoo objects
...second non-NA value)
for (k in (which(is.na(smafast))[length(which(is.na(smafast)))]+2):length(smafast))
{
smafast[k] <-
coredata(smafast[k-1])+K*(coredata(temp[k,1])-coredata(smafast[k-1]))
}
#PRODUCE SLOW MOVING AVERAGE
#Create equally weighted MA vector (we need only the first value)
smaslow <- zoo(coredata(filter(coredata(temp[,1]),
filter=rep(1/(j*4), (j*4)), sides=1)), order.by=time(temp))
K <- 2/(1+j*4)
#Calculate EMA
for (k in (which(is.na(smaslow))[length(which(is.na(smaslow)))]+2):length(smaslow))
{
smaslow[k] <-
coredata(smaslow[k-1])+K*(coredata(temp[k,1])-coredat...