Question

I am trying to use rollapply from zoo package with function maxdrawdown from tseries package:

library(zoo)
library(tseries)
x <- c(1,2,4,6,7,10,8,6,5,4,6,7,8)
y <- zoo(x)
z <- rollapply(y,3,maxdrawdown,fill=NA,align="right")

However I get this error message:

Error in zoo(rval, index(x)[i]) : 
 “x” : attempt to define invalid zoo object

Does that mean I cannot use rollapply on function maxdrawdown? Is there alternative solution to work this out?

Answer 1

maxdrawdown returns a list but we just want the maxdrawdown component of that list so try this:

rollapplyr(y, 3, function(x) maxdrawdown(x)$maxdrawdown, fill = NA)