before the days of all these great packages, how would one with base R access only find the following assuming i have an XTS object with normal OHLC price data for 100 periods. 1 - change in price from yesterday to today. close[today] - close[yesterday] 2 -rolling or moving simple ave. of close[last 30 periods] 3 - rolling or moving sd of close[last 30 periods] i understand that this would all be done with quantmod /ttr etc today but would just like to stay within the bounds of base R for educational purposes. thanks for your help. Bill -- View this message in context: http://r.789695.n4.nabble.com/Base-R-question-on-XTS-object-tp4663858.html Sent from the Rmetrics mailing list archive at Nabble.com.
Base R question on XTS object
4 messages · wlblount, Joshua Ulrich, Brian G. Peterson +1 more
On Wed, Apr 10, 2013 at 4:45 AM, wlblount <bill at easterngrain.com> wrote:
before the days of all these great packages, how would one with base R access only find the following assuming i have an XTS object with normal OHLC price data for 100 periods. 1 - change in price from yesterday to today. close[today] - close[yesterday]
x <- .xts(1:10,1:10) diff(x)
2 -rolling or moving simple ave. of close[last 30 periods]
If you have an xts object, that means you have the zoo package loaded, so you could use rollmean. rollmean(x,5) Or you could use cumsum with lag: (cumsum(x)-lag(cumsum(x),5))/5 Or you could completely roll your own: (cumsum(x)-c(rep(NA,5-1),0,cumsum(x)[1:(nrow(x)-5)]))/5
3 - rolling or moving sd of close[last 30 periods]
If I had to use base, I would use the embed function: ex <- embed(x,5) sqrt(1/(5-1)*rowSums((ex-rowMeans(ex))^2))
i understand that this would all be done with quantmod /ttr etc today but would just like to stay within the bounds of base R for educational purposes. thanks for your help. Bill
Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2013: Applied Finance with R | www.RinFinance.com
On 04/10/2013 04:45 AM, wlblount wrote:
before the days of all these great packages, how would one with base R access only find the following assuming i have an XTS object with normal OHLC price data for 100 periods. 1 - change in price from yesterday to today. close[today] - close[yesterday]
?diff (part of base)
2 -rolling or moving simple ave. of close[last 30 periods] 3 - rolling or moving sd of close[last 30 periods]
?apply (in base) ?rollapply (today) Rollapply is basically a loop that constructs the windowed index.
i understand that this would all be done with quantmod /ttr etc today but would just like to stay within the bounds of base R for educational purposes.
Then read an old book on S. ?ts the 'ts' class has been part of the S language basically since inception. Alternatively, all this code is open source. Look at the code. Cheers, Brian
On Wed, Apr 10, 2013 at 5:17 AM, Brian G. Peterson <brian at braverock.com> wrote:
On 04/10/2013 04:45 AM, wlblount wrote:
before the days of all these great packages, how would one with base R access only find the following assuming i have an XTS object with normal OHLC price data for 100 periods. 1 - change in price from yesterday to today. close[today] - close[yesterday]
?diff (part of base)
2 -rolling or moving simple ave. of close[last 30 periods] 3 - rolling or moving sd of close[last 30 periods]
?apply (in base) ?rollapply (today) Rollapply is basically a loop that constructs the windowed index.
i understand that this would all be done with quantmod /ttr etc today but would just like to stay within the bounds of base R for educational purposes.
'xts' is not part of base R, so if your students can get 'xts' they
should be able to get 'quantmod'. In fact, if you simply have them
install.packages("quantmod") that will get them zoo, TTR, and xts
automatically.
Then read an old book on S. ?ts the 'ts' class has been part of the S language basically since inception. Alternatively, all this code is open source. Look at the code. Cheers, Brian
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