So you have data in your XTS object and all I'm trying to do is add columns (attributes) that are derived values. does anybody have an example of this? I'm trying to perform a simply transformation on an existing attribute in my XTS object and store the value as a new attribute.
Most common way to add derived columns to an XTS object?
5 messages · Jeff Ryan, Joshua Ulrich, Robert Nicholson
Hi Robert, New columns aren't attributes, they are columns. For that:
x <- xts(1:10, Sys.Date()+1:10) y <- x*2 merge(x,y)
x y 2010-03-11 1 2 2010-03-12 2 4 2010-03-13 3 6 2010-03-14 4 8 2010-03-15 5 10 2010-03-16 6 12 2010-03-17 7 14 2010-03-18 8 16 2010-03-19 9 18 2010-03-20 10 20 HTH, Jeff On Wed, Mar 10, 2010 at 7:52 AM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
So you have data in your XTS object and all I'm trying to do is add columns (attributes) that are derived values. does anybody have an example of this? I'm trying to perform a simply transformation on an existing attribute in my XTS object and store the value as a new attribute.
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Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com
You already asked and received an answer for this question. I also answered you when you asked me this question off-list. Please don't post duplicate questions, especially when they were answered only days ago! As Jeff Ryan said, use merge.xts. See ?merge.xts. x <- .xts(1:10,1:10) y <- merge(x,d=diff(x)) As I said, use "$<-". See ?"$". y$r <- rnorm(NROW(y)) Do some work. No one is going to spoon feed you. -- Joshua Ulrich FOSS Trading: www.fosstrading.com On Wed, Mar 10, 2010 at 7:52 AM, Robert Nicholson
<robert.nicholson at gmail.com> wrote:
So you have data in your XTS object and all I'm trying to do is add columns (attributes) that are derived values. does anybody have an example of this? I'm trying to perform a simply transformation on an existing attribute in my XTS object and store the value as a new attribute.
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The previous post was when I had something given to me already as in
library('quantmod')
getSymbols('AAPL')
CHANGE = rollapply(Cl(AAPL),width=2, function(x) log(x[2]/x[1]), by=1, align = "right", na.pad = TRUE)
merge.zoo(AAPL, CHANGE)
and this worked fine
however
I'm not using rollapply and simply want to iterate over my existing XTS object and create a new column
with a derived value.
I was trying
SD = rollapply(CHANGE, width=20, function(x) sd(x) * sqrt(252), by=1, align = "right", na.pad = TRUE)
colnames(SD) = "StdDev Log Change"
for (i in 1:NROW(SD)) {
SD[i, "STDEV"] = SD[i, "StdDev Log Change"] * Cl(AAPL)[i];
}
but it wasn't working
I'm sorry if you thought it was a duplicate question. In my mind the context where I was trying to perform
the change was different because in the original case some other function built me a series that I then
merged with my original. My question was how to I go about modifying the original without generating
a new series and merging.
In this case I'm iterating because I'm trying to perform a transformation where I map to another series
using the same index.
On Mar 10, 2010, at 8:12 AM, Joshua Ulrich wrote:
You already asked and received an answer for this question. I also answered you when you asked me this question off-list. Please don't post duplicate questions, especially when they were answered only days ago! As Jeff Ryan said, use merge.xts. See ?merge.xts. x <- .xts(1:10,1:10) y <- merge(x,d=diff(x)) As I said, use "$<-". See ?"$". y$r <- rnorm(NROW(y)) Do some work. No one is going to spoon feed you. -- Joshua Ulrich FOSS Trading: www.fosstrading.com On Wed, Mar 10, 2010 at 7:52 AM, Robert Nicholson <robert.nicholson at gmail.com> wrote:
So you have data in your XTS object and all I'm trying to do is add columns (attributes) that are derived values. does anybody have an example of this? I'm trying to perform a simply transformation on an existing attribute in my XTS object and store the value as a new attribute.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
It seems the missing piece in the puzzle was to define the column first with
SD$STDDEV = rep(0, NROW(SD))
for (i in 1:NROW(SD)) {
SD[i, "STDDEV"] = SD[i, "StdDev Log Change"] * Cl(AAPL)[i];
}
then I can expect to assign values to it.
On Mar 10, 2010, at 8:12 AM, Joshua Ulrich wrote:
You already asked and received an answer for this question. I also answered you when you asked me this question off-list. Please don't post duplicate questions, especially when they were answered only days ago! As Jeff Ryan said, use merge.xts. See ?merge.xts. x <- .xts(1:10,1:10) y <- merge(x,d=diff(x)) As I said, use "$<-". See ?"$". y$r <- rnorm(NROW(y)) Do some work. No one is going to spoon feed you. -- Joshua Ulrich FOSS Trading: www.fosstrading.com On Wed, Mar 10, 2010 at 7:52 AM, Robert Nicholson <robert.nicholson at gmail.com> wrote:
So you have data in your XTS object and all I'm trying to do is add columns (attributes) that are derived values. does anybody have an example of this? I'm trying to perform a simply transformation on an existing attribute in my XTS object and store the value as a new attribute.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.