On Fri, Jul 22, 2011 at 2:37 PM, john nicholas <jbnich...@sbcglobal.net> wrote: > Hello, > > I would like to implement a "turn-of-the-month' trading strategy in R. > > Given a daily series of stock market return data as a zoo object, the strategy > would go long (buy) four trading days before the end of the month, and sell > the > third trading day of the following month. > > How can I select these days, particularly the fourth day before and the third > day after the turn of the month, from a zoo object? > Here are two ways to do this using xts. The first approach creates a list of xts objects where each list element contains one month of data. Then it uses first() and last() to extract the 4th trading day prior to the end of the month.
require(quantmod) getSymbols(SPY) x1 <- do.call(rbind, lapply(split(SPY, "months"), function(x) first(last(x,4)))) The second approach uses apply.monthly(), but that function always returns an object with index values that correspond to the last observation in the month. So we have to manually update the index to be 3 days prior. x2 <- apply.monthly(SPY, function(x) first(last(x,4))) index(x2) <- index(SPY)[endpoints(SPY, "months")[-1]-3] > Thanks in advance, > > John B. Nicholas, Ph.D > 650-315-9895 > HTH, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
