Lowest data level since DateX
On 5/13/05, Lapointe, Pierre <Pierre.Lapointe at nbf.ca> wrote:
Hello, I'm dealing with financial time series. I'm trying to find out X in this sentence: The most recent close is the lowest level since X(date). Here's an example of what I'm looking for: library(fBasics) data(DowJones30) tail(DowJones30[,1:5],n=10) I need to come up with a vector that would look like this AA AXP T ... 2000-12-21 2000-12-20 2000-12-29 i.e. the last date at which the stocks were trading at a lower level than the most recent closing. I know it has to do with min/max, pmin/pmax, cummin/cummax or rev(), but I can't figure it out.
The following returns the last index whose value is less than the last entry in vector x (or numeric(0) if none):
x <- c(1,4,2,6,3) tail(which(x < tail(x,1)),1)
[1] 3
x <- c(1,4,2,6,.5) tail(which(x < tail(x,1)),1)
numeric(0)