Using function slidify()
in package timetk
to create lm_roll()
, how to retrieve the coefficients calculated by lm_roll()
and calculate slope ? Below code , the last muate
can't work . Thanks!
library(timetk)
library(tidyverse)
library(tidyquant)
lm_roll <- slidify(~lm(.x ~ .y),.period=90,.unlist=FALSE,.align ="right")
FB <- FANG %>% filter(symbol == "FB")
FB %>%
drop_na() %>%
mutate(numeric_date = as.numeric(date)) %>%
mutate(rolling_lm = lm_roll(adjusted,numeric_date)) %>%
filter(!is.na(rolling_lm)) %>% mutate(intercept= coef(rolling_lm)[1],
numeric_date_index = coef(rolling_lm)[2],
slope=coef(rolling_lm)[1]/coef(rolling_lm)[2])