Hi:
On Thu, Apr 28, 2011 at 7:28 PM, eric <ericst...@aol.com> wrote:
> equire(quantmod)
> require(PerformanceAnalytics)
> rm(list=ls())
# Could you please not do this in the middle of a code chunk?
# Anyone who copies/pastes this into his/her session will lose everything
# (s)he had been doing.
> getSymbols("^GSPC", src="yahoo", from="1990-01-01", to=Sys.Date())
> GSPC <-na.omit(Ad(GSPC))
> ind <- rollapply(GSPC, 200, mean)
> signal <- ifelse(diff(ind, 5) > 0 , 1 , -1)
> signal[is.na(signal)] <- 0
ind returns what is effectively a matrix with six columns. If you do
the same with the differences,
> u <- diff(ind, 5)
> str(u)
‘zoo’ series from 1990-05-31 to 2010-12-03
Data: num [1:5172, 1:6] -1.303 -1.248 -1.13 -1.003 -0.946 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:6] "GSPC.Open" "GSPC.High" "GSPC.Low" "GSPC.Close" ...
Index: Class 'Date' num [1:5172] 7455 7456 7459 7460 7461 ...
> head(u)
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
1990-05-31 -1.30300 -1.24530 -1.26890 -1.24725 295150 -1.24725
1990-06-01 -1.24750 -1.16410 -1.18735 -1.12970 313100 -1.12970
1990-06-04 -1.12995 -1.04920 -1.05475 -1.00325 334950 -1.00325
1990-06-05 -1.00345 -0.96625 -0.97210 -0.94540 134750 -0.94540
1990-06-06 -0.94560 -0.94210 -0.91795 -0.92290 -448450 -0.92290
1990-06-07 -0.92295 -0.91270 -0.89700 -0.90335 -544200 -0.90335
This informs you why the ifelse() statement doesn't make sense.
Perhaps this is what you had in mind:
> apply(u, 2, function(x) table(sign(x)))
$GSPC.Open
-1 1
1285 3887
$GSPC.High
-1 1
1283 3889
$GSPC.Low
-1 0 1
1284 1 3887
$GSPC.Close
-1 1
1286 3886
$GSPC.Volume
-1 0 1
1349 1 3822
$GSPC.Adjusted
-1 1
1286 3886
## with
> signal <- sign(u)
> head(signal)
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
1990-05-31 -1 -1 -1 -1 1 -1
1990-06-01 -1 -1 -1 -1 1 -1
1990-06-04 -1 -1 -1 -1 1 -1
1990-06-05 -1 -1 -1 -1 1 -1
1990-06-06 -1 -1 -1 -1 -1 -1
1990-06-07 -1 -1 -1 -1 -1 -1
> sum(is.na(signal))
[1] 0
> sum(signal == 0L)
[1] 2
Thank you for providing a reproducible example.
HTH,
Dennis
>
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