Here is a relatively simple script (with comments as to the logic
interspersed):
# Some of these libraries are probably not needed here, but leaving them in
place harms nothing:
library(tseries)
library(xts)
library(quantmod)
library(fGarch)
library(fTrading)
library(ggplot2)
# Set the working directory, where the data file is located, and read the
raw data
setwd('C:/cygwin/home/Ted/New.Task/NKS-quotes/NKS-quotes')
x = read.table("quotes_M11.dat", header = FALSE, sep="\t", skip=0)
str(x)
# Set up the date column
dt<-sprintf("%s %04d",x$V2,x$V4)
dt<-as.POSIXlt(dt,format="%Y-%m-%d %H%M")
# Prepare a frame that gets converted to an xts object
y <- data.frame(dt,x$V5)
colnames(y) <- c("tickdate","price")
# Make the xts object, and then the OHLC object (as an aside, the tick data
includes volume, but I have yet to figure out how to make an OHLC object hat
includes volume)
z <- xts(y[,2],y[,1])
alpha <- to.minutes3(z, OHLC=TRUE)
colnames(alpha) <- c("Open","High","Low","Close")
alpha$rel_t <- seq(1-nrow(alpha),0)
# Just to check the code for the regression, apply the regression to the
whole series (unless the series is realy short or has a strong slow pattern
the regression result is not useful except to show that the code works)
polyfit <- lm(Close ~ poly(rel_t,4),alpha)
polyfit2 <- lm(Close ~ rel_t + I(rel_t^2) + I(rel_t^3) + I(rel_t^4),
data=alpha)
# This is the objective, where all the magic happens
rollRegFun <- function(d,i) {
# set up the relative time variable, so that the current record has rt = 0
d$rt <- seq(1-nrow(d),0)
# apply the regression to fit a 4th degree polynomial in rt
polyfit <- lm(Close ~ poly(rt,4),d)
# get the coefficients
p <- coef(polyfit)
# get the roots of the first derivative of the fitted polynomial
pr <- polyroot(c(p[2],2*p[3],3*p[4],4*p[5]))
# define a function that evaluates the second derivative as a function of x
dd <- function(x) { rv = 2*p[3]+6*p[4]*x+12*p[5]*x*x;rv;}
# evaluate the second derivative at the ith root, and print the result
r <- dd(pr[i])
r
}
rollRegFun(alpha,1)
rollRegFun(alpha,2)
rollRegFun(alpha,3)
The code I show above does not give an error, but if the function is
re-written as:
rFun <- function(d) {
d$rt <- seq(1-nrow(d),0)
polyfit <- lm(Close ~ poly(rt,4),d)
p <- coef(polyfit)
pr <- polyroot(c(p[2],2*p[3],3*p[4],4*p[5]))
dd <- function(x) { rv = 2*p[3]+6*p[4]*x+12*p[5]*x*x;rv;}
r <- dd(pr[1])
r
}
And I try to get rollapply to execute it on a moving window, I get errors.
E.g.
> rollapply(as.zoo(alpha),60,rFun)
Error in from:to : argument of length 0
Yet, the following works:
rollapply(alpha$Close,60,mean)
what do I have to do to either my function or my use of rollapply in order
to get it to work?
Thanks
Ted
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