Question

I am looking for percent rank function in R but can not find it.

Actually I am interested in runPercentRank function like the ones in TTR package under runFun (runMin, runMax,…). The function would take an xts object as argument and length of interval and return an xts object with percent ranks of values.

Does something like that exists? Any hints on how to efficiently write such a function?

Answer 1

Thanks to Charlie Friedemann, there is now an extremely fast runPercentRank function in TTR >= 0.22.0.

library(quantmod)
data(ttrc)
pr <- runPercentRank(Cl(ttrc))
plot(pr, type="l")