price.R

change <- function(x, days = 10, method = 'last', intvl = .9) {
	# distribution of change over days
	stopifnot(days < length(x))
	stopifnot(method %in% c('last', 'max', 'min'))
	N <- length(x)
	vec <- c() 
	for (i in 1:(N - days)) {
		extract <- x[i:(i + days)]
		lastchange <- extract[days] / extract[1] - 1
		maxchange <- max(extract) / extract[1] - 1
		minchange <- min(extract) / extract[1] - 1
		if (method == 'last') {
			vec <- c(vec, lastchange)
		} else if (method == 'max') {
			vec <- c(vec, maxchange) 
		} else {
			vec <- c(vec, minchange)
		}
	}
	if (method == 'last') {
		# centered
		q1 <- quantile(vec, (1 - intvl) / 2 )
		q2 <- quantile(vec, intvl + (1 - intvl) / 2 )
		cat('low', q1, 'median', median(vec), 'up', q2, '\n')
	} else if (method == 'max') {
		q1 <- quantile(vec, intvl)
		cat('median', median(vec), 'up', q1, '\n')		
	} else {
		q1 <- quantile(vec, 1 - intvl)
		cat('low', q1, 'median', median(vec), '\n')				
	}
	plot(density(vec))
}

x <- rnorm(100, 10, 1)
x <- 100 + arima.sim(list(ar = .9, ma = .1), 100)
plot(x)
change(x, method = 'last')
change(x, method = 'max')
change(x, method = 'min')