| runPercentRank {TTR} | R Documentation |
Percent Rank over a Moving Window
Description
This function computes a running/rolling percentage rank.
Usage
runPercentRank(x, n = 260, cumulative = FALSE, exact.multiplier = 0.5)
Arguments
x |
Object coercible to xts or matrix. |
n |
Number of periods to use in the window or, if
|
cumulative |
Logical, use from-inception calculation? |
exact.multiplier |
The weight applied to identical values in the window. Must be between 0 and 1, inclusive. See details. |
Details
The computation for a percentage rank can vary depending on the weight given
to values in the window that are equal to the value being ranked. This weight
can be set using the exact.multiplier argument which defaults to 0.5.
exact.multiplier = 0 scores equal values in the lookback window as
always being greater than the value being ranked. exact.multiplier = 1
scores equal values as being below the value being ranked. Any multiplier
between 0 and 1 counts that proportion of the equal values as being below
the value being ranked.
The value of exact.multiplier has the most impact when the window is
relatively small or when the number of discrete values in the window is
small. For non-repeating values, changing exact.multiplier = 0 to
exact.multiplier = 1 for a window of size N will shift the
resulting percentile rankings by 1/N. It is equivalent to changing
the question from, "how many values are < the value" to "how many values
are <= the value".
Value
A object of percent ranks over a n-period moving window of the same
class as x and y or a vector (if try.xts fails).
Note
This computation is different from the one used in Microsoft Excel's
PERCENTRANK formula. Excel's computation is rather strange and gives
inconsistent results as it uses interpolation to rank values that are not
found within the lookback window.
Author(s)
Charlie Friedemann
References
The following site(s) were used to code/document this
indicator:
https://en.wikipedia.org/wiki/Percentile_rank