Created
January 27, 2019 06:52
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this causes segfaults for fromo. sad.
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library(fromo) | |
set.seed(1234) | |
nel <- 20 | |
xna <- rnorm(nel) | |
xna[xna < -0.5] <- NA | |
xall <- list(rnorm(nel), | |
xna, | |
as.integer(rnorm(nel,sd=100))) | |
wna <- runif(nel,min=1,max=3) | |
wna[wna < 1.5] <- NA | |
wall <- list(rep(1.0,nel), | |
runif(nel,min=0.9,max=3.5), | |
wna, | |
NULL) | |
ptiles <- c(0.1,0.25,0.5,0.75,0.9) | |
for (thingy in xall) { | |
for (wts in wall) { | |
for (window in c(5,21,Inf,NULL)) { | |
for (na_rm in c(FALSE,TRUE)) { | |
running_sum(thingy,wts=wts,window=window,restart_period=2L,na_rm=na_rm) | |
running_sum(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_mean(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_sd(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_skew(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_kurt(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_sd3(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_skew4(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_kurt5(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
for (mol in c(1L,2L,5L)) { | |
running_cent_moments(thingy,wts=wts,max_order=mol,window=window,restart_period=50L,na_rm=na_rm) | |
running_cent_moments(thingy,wts=wts,max_order=mol,window=window,restart_period=50L,na_rm=na_rm,max_order_only=TRUE) | |
} | |
running_std_moments(thingy,wts=wts,max_order=5L,window=window,restart_period=50L,na_rm=na_rm) | |
running_cumulants(thingy,wts=wts,max_order=5L,window=window,restart_period=50L,na_rm=na_rm) | |
running_apx_quantiles(thingy,wts=wts,p=ptiles,max_order=5L,window=window,restart_period=50L,na_rm=na_rm) | |
running_apx_median(thingy,wts=wts,max_order=5L,window=window,restart_period=50L,na_rm=na_rm) | |
running_centered(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
for (lookahead in c(0,8)) { | |
running_centered(thingy,wts=wts,window=window,restart_period=50L,lookahead=lookahead,na_rm=na_rm) | |
running_scaled(thingy,wts=wts,window=window,restart_period=50L,lookahead=lookahead,na_rm=na_rm) | |
running_zscored(thingy,wts=wts,window=window,restart_period=50L,lookahead=lookahead,na_rm=na_rm) | |
} | |
running_sharpe(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
running_sharpe(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm,compute_se=TRUE) | |
running_tstat(thingy,wts=wts,window=window,restart_period=50L,na_rm=na_rm) | |
} | |
} | |
} | |
} |
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