R - 如何对来自其他软件包的函数使用rollapply，例如来自tseries的maxdrawdown？

Question

I am trying to use rollapply from zoo package with function maxdrawdown from tseries package:

library(zoo)
library(tseries)
x <- c(1,2,4,6,7,10,8,6,5,4,6,7,8)
y <- zoo(x)
z <- rollapply(y,3,maxdrawdown,fill=NA,align="right")

However I get this error message:

Error in zoo(rval, index(x)[i]) : 
 “x” : attempt to define invalid zoo object

Does that mean I cannot use rollapply on function maxdrawdown ? Is there alternative solution to work this out?

Answer 1

maxdrawdown返回一个列表，但我们只想要该列表的maxdrawdown组件，所以试试这个：

rollapplyr(y, 3, function(x) maxdrawdown(x)$maxdrawdown, fill = NA)