# Vectorized local min/max finding Classic List Threaded 4 messages Open this post in threaded view
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## Vectorized local min/max finding

 I am trying to find a vectorized solution (if there is one) to a simple problem. I have a vector of values representing the close prices of a security and another vector of their moving average. I construct a simple "distance" object of their difference: diff <- close - ma Now I would like to calculate some simple statistics like: 1. The number of times the diff crosses the '0' line 2. The duration between each cross (number of samples) 3. The min and max values of diff between each cross. This is easy to do using "for loops" but really slow. Given this is a really basic problem I'm hoping that there a faster solution. Thank you Paolo _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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## Re: Vectorized local min/max finding

 1) The 'rle' function is likely to help you. Try: rle(diff > 0) 2) You are likely to hear about this question not being finance specific so other venues would be more appropriate. Pat On 23/03/2012 10:07, Paolo Giusti wrote: > I am trying to find a vectorized solution (if there is one) to a simple problem. > > I have a vector of values representing the close prices of a security > and another vector of their moving average. > I construct a simple "distance" object of their difference: > > diff<- close - ma > > Now I would like to calculate some simple statistics like: > > 1. The number of times the diff crosses the '0' line > 2. The duration between each cross (number of samples) > 3. The min and max values of diff between each cross. > > This is easy to do using "for loops" but really slow. Given this is a > really basic problem I'm hoping that there a faster solution. > > Thank you > Paolo > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions should go. > -- Patrick Burns [hidden email] http://www.burns-stat.comhttp://www.portfolioprobe.com/blogtwitter: @portfolioprobe _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.