计算时间序列的滚动最小值/最大值

Question

For the following data (tiblle is named eq_quotes)

Date        High    Low    Close    Rolling Max Rolling Min
12/16/2020  371.16  368.87  370.17  371.16      363.26
12/15/2020  369.59  365.92  369.59  371.05      363.26
12/14/2020  369.8   364.47  364.66  371.05      363.26
12/11/2020  366.74  363.26  366.3   371.05      359.17
12/10/2020  367.86  364.43  366.73  371.05      359.17
12/9/2020   371.05  365.95  366.85  371.05      359.17
12/8/2020   370.78  367.67  370.17  370.78      359.17
12/7/2020   369.62  367.72  369.09  369.85      354.87
12/4/2020   369.85  367.22  369.85  369.85      354.87
12/3/2020   368.19  365.5   366.69  368.19      354.15
12/2/2020   366.96  364.2   366.79  367.68      354.15
12/1/2020   367.68  364.93  366.02  367.68      354.15
11/30/2020  363.12  359.17  362.06  364.18      354.15
11/27/2020  364.18  362.58  363.67  364.18      354.15
11/25/2020  363.16  361.48  362.66  363.81      351.26
11/24/2020  363.81  359.29  363.22  363.81      351.26
11/23/2020  358.82  354.87  357.46  362.78      350.51
11/20/2020  357.72  355.25  355.33  364.38      350.51
11/19/2020  358.18  354.15  357.78  364.38      347.65
11/18/2020  361.5   356.24  356.28  364.38      347.65

I am trying to calculate a single rolling min/max for the three columns of data after the date column.
The width of the window would be 10 and start with the values in that row.

The last two columns are what the data should be for that row in the data

I have tried multiple methods to calculate the data using RollMax trying the following:

1. Rollmax point at the 3 columns I want to use as the input Something like (deleted the code):

    rollmax(eq_quotes[,2:4],
                 k=10,
                 fill=NA,
                 align = "left")

==> Challenge is that is created a 3x # of rows matrix and did not return a single value for that row 2) Max of 3 executions of Rollmax on each of the columns

                max(rollmax(eq_quotes$High,
                            k=10,
                            fill=NA,
                            align = "left"),
                       rollmax(eq_quotes$Low,
                               k=10,
                               fill=NA,
                               align = "left"),
                       rollmax(eq_quotes$Close,
                               k=10,
                               fill=NA,
                               align = "left")
                       
                    )

3. Tried to slice the data into 10 row sub-tables but still run into the challenge of how to calculate the max/min of 3 columns of data

Answer 1

You can try the following:

library(zoo)
library(dplyr)

df %>%
  mutate(across(High:Close, ~rollapply(.x, 10, 
                min, align = 'left', partial = TRUE), .names = '{col}_min'),  
         rolling_min = pmin(High_min, Low_min, Close_min), 
         across(High:Close, ~rollapply(.x, 10, 
                max, align = 'left', partial = TRUE), .names = '{col}_max'),  
         rolling_max = pmax(High_max, Low_max, Close_max)) %>%
  select(Date:Close, rolling_min, rolling_max)

This returns:

#         Date   High    Low  Close rolling_min rolling_max
#1  12/16/2020 371.16 368.87 370.17      363.26      371.16
#2  12/15/2020 369.59 365.92 369.59      363.26      371.05
#3  12/14/2020 369.80 364.47 364.66      363.26      371.05
#4  12/11/2020 366.74 363.26 366.30      359.17      371.05
#5  12/10/2020 367.86 364.43 366.73      359.17      371.05
#6   12/9/2020 371.05 365.95 366.85      359.17      371.05
#7   12/8/2020 370.78 367.67 370.17      359.17      370.78
#8   12/7/2020 369.62 367.72 369.09      354.87      369.85
#9   12/4/2020 369.85 367.22 369.85      354.87      369.85
#10  12/3/2020 368.19 365.50 366.69      354.15      368.19
#11  12/2/2020 366.96 364.20 366.79      354.15      367.68
#12  12/1/2020 367.68 364.93 366.02      354.15      367.68
#13 11/30/2020 363.12 359.17 362.06      354.15      364.18
#14 11/27/2020 364.18 362.58 363.67      354.15      364.18
#15 11/25/2020 363.16 361.48 362.66      354.15      363.81
#16 11/24/2020 363.81 359.29 363.22      354.15      363.81
#17 11/23/2020 358.82 354.87 357.46      354.15      361.50
#18 11/20/2020 357.72 355.25 355.33      354.15      361.50
#19 11/19/2020 358.18 354.15 357.78      354.15      361.50
#20 11/18/2020 361.50 356.24 356.28      356.24      361.50

For the 3 columns we calculate rolling min and max and then using pmin and pmax we gather one min and max for each row.

Answer 2

Since the Low and Close cannot be higher than the High we only need to take the rolling maximum of the High column and similarly the rolling minimum of the Low. Also note that for any numeric vector x that min(x) = -max(-x).

library(dplyr)
library(zoo)

eq_quotes %>%
  mutate(Roll_Max = rollmax(High, 10, align = "left", fill = NA),
         Roll_Min = -rollmax(-Low, 10, align = "left", fill = NA))

Note

Lines <- "
Date        High    Low    Close    Rolling_Max Rolling_Min
12/16/2020  371.16  368.87  370.17  371.16      363.26
12/15/2020  369.59  365.92  369.59  371.05      363.26
12/14/2020  369.8   364.47  364.66  371.05      363.26
12/11/2020  366.74  363.26  366.3   371.05      359.17
12/10/2020  367.86  364.43  366.73  371.05      359.17
12/9/2020   371.05  365.95  366.85  371.05      359.17
12/8/2020   370.78  367.67  370.17  370.78      359.17
12/7/2020   369.62  367.72  369.09  369.85      354.87
12/4/2020   369.85  367.22  369.85  369.85      354.87
12/3/2020   368.19  365.5   366.69  368.19      354.15
12/2/2020   366.96  364.2   366.79  367.68      354.15
12/1/2020   367.68  364.93  366.02  367.68      354.15
11/30/2020  363.12  359.17  362.06  364.18      354.15
11/27/2020  364.18  362.58  363.67  364.18      354.15
11/25/2020  363.16  361.48  362.66  363.81      351.26
11/24/2020  363.81  359.29  363.22  363.81      351.26
11/23/2020  358.82  354.87  357.46  362.78      350.51
11/20/2020  357.72  355.25  355.33  364.38      350.51
11/19/2020  358.18  354.15  357.78  364.38      347.65
11/18/2020  361.5   356.24  356.28  364.38      347.65"
eq_quotes <- read.table(text = Lines, header = TRUE)