Applying quarterly weights on daily returns
If I understand it then you want to lag rets by one day, mulitply that by tsig and then sum over the quarter and mulitply that by wts: z <- tsig * lag(rets) rowsum(z, as.yearqtr(time(z))) * wts The rowsum output is a matrix and wts is zoo so this depends on them having the same shapes.
On Mon, Jun 9, 2008 at 12:19 PM, Murali Menon <feanor0 at hotmail.com> wrote:
Folks, I have quarterly weights (4 quarters) and 300 days of daily trading signals and returns for 3 assets. library(zoo) set.seed(123) wts <- abs(zoo(matrix(rnorm(36), ncol = 3), yearqtr(1970 + (0 : 3) / 4)) ) rets <- zoo(matrix(rnorm(900), ncol = 3) / 100, order.by = as.Date(1 : 300)) tsig <- zoo(rbinom(300, 2, 0.5) - 1, order.by = as.Date(1 : 300)) In each quarter, the return would be like: rowSums(head(tsig, -1) * tail(rets, -1) * wts(of that quarter)) Where the trading signal is applied today, but its return is observed tomorrow. How to apply quarterly series on a daily series, though? Please advise. Thanks, Murali
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