This is just a general question regarding the maximum number of stocks I can use in the r performanceanalytics optimizer function. My code works fine for optimizing anything up to around 110 asset...

I want to estimate rolling value-at-risk for a dataset of about 22.5 million observations, thus I want to use sparklyr for fast computation. Here is what I did (using a sample database): library(P...

I want to know if it is possible to make the table output in this R package a % instead of a numeric. table.AnnualizedReturns(indOver, Rf=0) SP500 Annualized Return 0.0732 Annualized Std Dev 0...

I need to perform rolling VaR estimation of daily stock returns. At first I did the following: library(PerformanceAnalytics) data(edhec) sample<-edhec[,1:5] var605<-rollapply(as.zoo(sample),...

I need to run rolling window function on a xts data which contains about 7,000 rows and 11,000 columns. I did the following: require(PerformanceAnalytics) ssd60<-rollapply(wddxts,width=60,FUN=f...

I need to calculate rolling VaR of stock returns. From this post: Using rollapply function for VaR calculation using R , I understand that columns having complete missing cases will give error. But...

I did the following for calculating Value at Risk (VaR) over 20 period rolling window: require(PerformanceAnalytics); require(zoo) data(edhec) class(edhec) # [1] "xts" "zoo" class(edhec$CTAGlobal)...

I would like to make a "ggplot version" of the basic functionality of charts.PerformanceSummary that is available in the PerformanceAnalytics package, as I think that ggplot is generally prettier a...