5 messages · Jeff Ryan, Brian G. Peterson, ehxpieterse +1 more
Apologies if this has been asked before. I am looking for a function to calculate the n-period return for a time series. For example, the user would specify 11, 90 or 180 and then generate an accompanying n-period delta. Thanks in advance. Eduard
View this message in context: http://www.nabble.com/n-period-return-tp24788735p24788735.html Sent from the Rmetrics mailing list archive at Nabble.com.
Try:
?diff
library(quantmod)
getSymbols("AAPL")
AAPL.Cl <- Cl(AAPL)
diff(log(AAPL.Cl), lag=11)
diff(log(AAPL.Cl), lag=90)
diff(log(AAPL.Cl), lag=180)
Or using quantmod's Delt:
Delt(Cl(AAPL), k=c(11,90,180), type="log")
HTH
Jeff
On Mon, Aug 3, 2009 at 5:55 AM,
Apologies if this has been asked before. I am looking for a function to calculate the n-period return for a time series. For example, the user would specify 11, 90 or 180 and then generate an accompanying n-period delta. Thanks in advance. Eduard -- View this message in context: http://www.nabble.com/n-period-return-tp24788735p24788735.html Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ 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.
Jeffrey Ryan jeffrey.ryan at insightalgo.com ia: insight algorithmics www.insightalgo.com
Apologies if this has been asked before. I am looking for a function to calculate the n-period return for a time series. For example, the user would specify 11, 90 or 180 and then generate an accompanying n-period delta.
See to.period() in xts to decompose. Also see period.apply() Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
Thanks Jeff,
I'm not too clear on how to use the GetSeries data type, after using diff().
getSymbols("^GSPC", src="yahoo")
CloseData <- Cl(GSPC)
Delta <- diff(CloseData, lag=1)
for (i in 3:length(Delta)) {
if (Delta[i]>Delta[i-1]) sum <- sum + Delta
}
It seems if the variables have no length? Is this something specific to the
way getSymbols create objects?
View this message in context: http://www.nabble.com/n-period-return-tp24788735p24793238.html Sent from the Rmetrics mailing list archive at Nabble.com.
This is because xts aligns the series before operations. (Delta[i]>Delta[i-1]) returns an empty xts object because Delta[i] and Delta[i-1] don't share any common index values. Something like this will work:
lDelta <- lag(Delta)
for (i in 3:length(Delta)) {
+ if (Delta[i]>lDelta[i]) sum <- sum + Delta + } Though you're going to have the same problem when you try to add "sum" and "Delta" if they're both xts objects. HTH, Josh -- http://www.fosstrading.com On Mon, Aug 3, 2009 at 10:55 AM,
Thanks Jeff,
I'm not too clear on how to use the GetSeries data type, after using diff().
getSymbols("^GSPC", src="yahoo")
CloseData <- Cl(GSPC)
Delta <- diff(CloseData, lag=1)
for (i in 3:length(Delta)) {
?if (Delta[i]>Delta[i-1]) sum <- sum + Delta
}
It seems if the variables have no length? Is this something specific to the
way getSymbols create objects?
--
View this message in context: http://www.nabble.com/n-period-return-tp24788735p24793238.html
Sent from the Rmetrics mailing list archive at Nabble.com.
_______________________________________________ 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.