PerformanceAnalytics 包中的某些函數在與 zoo::rollapply 一起使用時失敗

Question

我正在嘗試使用zoo::rollapply函數使用PerformanceAnalytics包按時間順序計算Sterling Ratio 。 下面是我的計算——

library(zoo)
library(PerformanceAnalytics)

Orig_Data = structure(c(12.05, 12.75, 12.75, 12.55, 13.05, 14.15, 16.2, 16.5, 
15.95, 16.9, 17.3, 17.5, 16.2, 16.7, 16.4, 15.95, 17.15, 16.2, 
16.5, 15.35, 15.8, 16.1, 16.35, 18.3, 18.2, 17.35, 17.95, 18.35, 
18.3, 17.9, 18.1, 20.65, 20.45, 20.3, 20.65, 18.7, 18.95, 18.3, 
16.65, 17.05, 17.15, 16.9, 17.15, 16.55, 16.2, 16, 16.8, 16.8, 
16.9, 16.75, 16.4, 15.8, 15.2, 15.15, 16.5, 16.75, 16.5, 15.85, 
15.75, 15.15, 15.2, 15.45, 16.15, 16.1, 16.05, 15.7, 15.75, 15.85, 
15.9, 15.5, 15.5, 15.7, 15.55, 15.45, 15.2, 14.75, 14.7, 14.1, 
14.2, 14.1, 14.25, 14.35, 14, 13.4, 13.4, 13.05, 12.9, 12.8, 
12.5, 12.45, 12.45, 12.6, 12.15, 12, 12.1, 12.4, 13, 12.9, 12.9, 
12.7, 13.15, 11.75, 11.25, 11.05, 10.95, 11.4, 11.4, 11.45, 11.2, 
10.95, 10.65, 9.9, 9.65, 9.65, 9.05, 8.6, 8.75, 8.8, 9.3, 9.85, 
10.15, 9.7, 9.8, 9.85, 10.25, 11.15, 12.25, 12.75, 12.55, 12, 
12.85, 12.5, 12.3, 12.6, 12.25, 11.65, 11.4, 11.2, 11.15, 10.75
), index = structure(c(15341, 15342, 15343, 15344, 15345, 15348, 
15349, 15350, 15351, 15352, 15355, 15356, 15357, 15358, 15359, 
15362, 15363, 15364, 15366, 15369, 15370, 15371, 15372, 15373, 
15376, 15377, 15378, 15379, 15380, 15383, 15384, 15385, 15386, 
15387, 15391, 15392, 15393, 15394, 15397, 15398, 15399, 15400, 
15401, 15404, 15405, 15406, 15408, 15411, 15412, 15413, 15414, 
15415, 15418, 15419, 15420, 15421, 15422, 15425, 15426, 15427, 
15428, 15429, 15432, 15433, 15434, 15439, 15440, 15441, 15442, 
15443, 15446, 15447, 15448, 15449, 15450, 15453, 15454, 15455, 
15456, 15457, 15460, 15462, 15463, 15464, 15467, 15468, 15469, 
15470, 15471, 15474, 15475, 15476, 15477, 15478, 15481, 15482, 
15483, 15484, 15485, 15488, 15489, 15490, 15491, 15492, 15495, 
15496, 15497, 15498, 15499, 15502, 15503, 15504, 15505, 15506, 
15509, 15510, 15511, 15512, 15513, 15516, 15517, 15518, 15519, 
15520, 15523, 15524, 15525, 15526, 15527, 15530, 15531, 15532, 
15533, 15534, 15537, 15538, 15539, 15540, 15541, 15544), class = "Date"), class = "zoo")

rollapply(Orig_Data,
            width = 132,
            align = 'right',
            function(Data) {
                    Start = as.character(index(Data)[1])
                    End   = as.character(last(index(Data)))

                    SterlingRatio = as.vector(SterlingRatio(R = diff(log(Data))))

                    return(data.frame('Start' = Start,
                                        'End' = End,
                                        'SterlingRatio' = SterlingRatio, check.names = FALSE))

                })

此代碼因錯誤而失敗 -

Error in try.xts(x, error = "'x' needs to be timeBased or xtsible") : 
  'x' needs to be timeBased or xtsible

結果有幾個問題 -

1. 即使我不使用函數SterlingRatio()上面的代碼也沒有重新調整Start和End正確值
2. 以上錯誤與SterlingRatio()和SharpeRatio()函數有關。 如果我使用其他一些函數，例如SortinoRatio()它工作正常。

任何想法出了什么問題都會非常有幫助。

感謝致敬，

Answer 1

SterlingRatio和SharpeRatio都有一些使用 xts 包中的函數xtsible內部檢查。 這只是檢查數據是否為 ​​xts 格式。 在這種情況下它不是，它是一個動物園對象。 下面的示例將返回數據。

rollapply(xts::as.xts(Orig_Data),
          width = 132,
          align = 'right',
          SterlingRatio)

但是在上面創建的函數中使用as.xts會返回錯誤，因為您將嘗試將 data.frame 與 xts 對象合並。 所以首先你需要知道你希望你的輸出是什么樣的。