TTR: rollFun – R documentation

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rollFun

Analysis of Running/Rolling/Moving Windows

Various functions to analyze data over a moving window of periods.

rollSFM(Ra, Rb, n = 60)

`Ra`	Object coercible to xts or matrix, containing the excess return for an individual security
`Rb`	Object coercible to xts or matrix, containing the market / benchmark return
`n`	Number of periods to use in the window

A object of the same class as Ra (and Rb?) or a vector (if try.xts fails).

rollSFM: returns single-factor model parameters and R-squared over a n-period moving window.

Joshua Ulrich

The following site(s) were used to code/document this indicator: https://en.wikipedia.org/wiki/Simple_linear_regression

Technical Trading Rules

v0.24.2

GPL (>= 2)

Authors

Joshua Ulrich

Initial release