Speed issue issue with periodReturn
Ian Coe wrote:
Hi, I noticed that the periodReturn function seems to a take non-trivial amount of time to compute weekly returns. The calls below all compute the log returns from 1/1/2007 to now and they take slightly different amounts of time. I'd like to be able to compute weekly returns as fast as possible. Does anyone have suggestions for minimizing the processing time? Different data type? Different function to call? Thanks, Ian
yhoo=getSymbols("GOOG",source="yahoo",from = "01-01-2004")
system.time(weeks<-periodReturn(GOOG,period="weekly",type='log',
subset="2007::")) user system elapsed 0.06 0.00 0.06
yhoo=getSymbols("GOOG",source="yahoo",from = "01-01-2007")
system.time(weeks<-periodReturn(GOOG,period="weekly",type='log',
subset="2007::")) user system elapsed 0.04 0.00 0.07
yhoo=getSymbols("GOOG",source="yahoo")
system.time(weeks<-periodReturn(GOOG,period="weekly",type='log'))
user system elapsed 0.05 0.00 0.05
Ian, 1/20th of a second for WEEKLY aggregated returns on 2+ years of data doesn't seem outrageous. So might gain a tiny bit by calling log() directly, but I doubt it. I could of course be wrong, but the tiny time difference seems trivial, not "non-trivial". Perhaps you need to investigate use of foreach and doMC for your larger problem? Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock