Rolling Mean/standard deviation with conditions

Question

I have a bit of a question about computing the Rolling Mean/standard deviation based on conditions. To be honest it is more of a syntax question, but since I think it is slo

Answer 1

I think your problem is your use of the := function and that you use DT inside the square brackets. I assume your setup is something like:

> library(data.table)
> set.seed(83385668)
> DT <- data.table(
+   x     = rnorm(5 * 3), 
+   stock = c(sapply(letters[1:3], rep, times = 5)),
+   time  = c(replicate(3, 1:5)))
> DT
              x stock time
 1:  0.25073356     a    1
 2: -0.24408170     a    2
 3: -0.87475856     a    3
 4:  0.50843761     a    4
 5: -1.91331773     a    5
 6:  0.07850094     b    1
 7: -0.15922989     b    2
 8:  1.09806870     b    3
 9:  0.27995610     b    4
10:  0.45090842     b    5
11:  0.03400554     c    1
12: -0.34918734     c    2
13:  2.16602740     c    3
14: -0.04758261     c    4
15:  1.24869663     c    5

I am not sure where the roll_sd function is from. However, you can compute e.g. a rolling mean with the zoo library as follows:

> library(zoo)
> setkey(DT, stock, time) # make sure data is sorted by time
> DT[, rollmean := rollmean(x, k = 3, fill = 0, align = "right"), 
+    by = .(stock)]
> DT
              x stock time   rollmean
 1:  0.25073356     a    1  0.0000000
 2: -0.24408170     a    2  0.0000000
 3: -0.87475856     a    3 -0.2893689
 4:  0.50843761     a    4 -0.2034676
 5: -1.91331773     a    5 -0.7598796
 6:  0.07850094     b    1  0.0000000
 7: -0.15922989     b    2  0.0000000
 8:  1.09806870     b    3  0.3391132
 9:  0.27995610     b    4  0.4062650
10:  0.45090842     b    5  0.6096444
11:  0.03400554     c    1  0.0000000
12: -0.34918734     c    2  0.0000000
13:  2.16602740     c    3  0.6169485
14: -0.04758261     c    4  0.5897525
15:  1.24869663     c    5  1.1223805

or equivalently

> DT[, `:=`(rollmean = rollmean(x, k = 3, fill = 0, align = "right")), 
+    by = .(stock)]
> DT
              x stock time   rollmean
 1:  0.25073356     a    1  0.0000000
 2: -0.24408170     a    2  0.0000000
 3: -0.87475856     a    3 -0.2893689
 4:  0.50843761     a    4 -0.2034676
 5: -1.91331773     a    5 -0.7598796
 6:  0.07850094     b    1  0.0000000
 7: -0.15922989     b    2  0.0000000
 8:  1.09806870     b    3  0.3391132
 9:  0.27995610     b    4  0.4062650
10:  0.45090842     b    5  0.6096444
11:  0.03400554     c    1  0.0000000
12: -0.34918734     c    2  0.0000000
13:  2.16602740     c    3  0.6169485
14: -0.04758261     c    4  0.5897525
15:  1.24869663     c    5  1.1223805