You are right, I inadvertently deleted part of the script - so I ended up with non-mutually exclusive regions. My apologies
Neville O'Reilly, Ph.D Associate Director, Financial Statistics & Risk Management, Rm 479 Hill Center, Rutgers University, 110 Freylinghuysen Rd., Piscataway, NJ 08854. 848-445-7669 http://fsrm.rutgers.edu/ ----- Original Message ----- From: "David Carlson" <dcarl...@tamu.edu> To: "Neville O'Reilly" <norei...@stat.rutgers.edu>, r-help@r-project.org Sent: Wednesday, June 26, 2013 1:15:06 PM Subject: RE: [R] Ifelse leading to inconsistent result I don't see that you have set up mutually exclusive ranges. If we modify your code so save the maxlogP and minlogP values: niter = 1e5 # number of iterations is 10^5 CountLoss = rep(0,niter) CountProf = rep (0,niter) maxlogP <- rep(0, ninter) minlogP <- rep(0, ninter) set.seed(2009) # enables reproducibility of result if script run again" for (i in 1:niter) { r = rnorm(100,mean=.05/253, sd=.23/sqrt(253)) # generate 100 random normal numbers logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices maxlogP[i] = max(logPrice) # max price over next 100 days minlogP[i] = min(logPrice) CountLoss[i] <- ifelse (minlogP[i] < log(950000), 1, ifelse (maxlogP[i] > log (1000000), 0, 1)) CountProf[i] <- ifelse (maxlogP[i] < log (1100000),0,1) } both <- which(CountLoss+CountProf>1) length(both) # 18484 head(both) # [1] 1 5 9 12 15 25 ifelse (minlogP[1] < log(950000), 1, ifelse (maxlogP[1] > log (1000000), 0, 1)) # [1] 1 ifelse (maxlogP[1] < log(1100000),0,1) # [1] 1 exp(maxlogP[1]) # [1] 1204589 exp(minlogP[1]) # [1] 932747.5 Your first simulation meets both criteria along 18483 others! ------------------------------------- David L Carlson Associate Professor of Anthropology Texas A&M University College Station, TX 77840-4352 -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Neville O'Reilly Sent: Wednesday, June 26, 2013 10:41 AM To: r-help@r-project.org Subject: [R] Ifelse leading to inconsistent result I have used ifelse in count variables to count the number of times in a simulation the values of a vector of logprice fall within mutually exclusive ranges. However, there is a double count in the result i.e. i am getting output indicating values falling in mutually exclusive ranges. Here is the code and result R script niter = 1e5 # number of iterations is 10^5 CountLoss = rep(0,niter) CountProf = rep (0,niter) set.seed(2009) # enables reproducibility of result if script run again" for (i in 1:niter) { r = rnorm(100,mean=.05/253, sd=.23/sqrt(253)) # generate 100 random normal numbers logPrice = log(1e6) + cumsum(r) #vector of 100 days log prices maxlogP = max(logPrice) # max price over next 100 days minlogP = min(logPrice) CountLoss[i] <- ifelse (minlogP < log(950000), 1, ifelse (maxlogP > log (1000000), 0, 1)) CountProf[i] <- ifelse (maxlogP < log (1100000),0,1) } sum(CountLoss) mean(CountLoss) # fraction of times out of niter that stock is sold for a loss in a 100 day period sum(CountProf) mean(CountProf) # fraction of times out of niter that stock is sold for a profit in a 100 day period Output sum(CountLoss) [1] 64246 > mean(CountLoss) # fraction of times out of niter that stock is sold for a loss in a 100 day period [1] 0.64246 > sum(CountProf) [1] 51857 > mean(CountProf) # fraction of times out of niter that stock is sold for a profit in a 100 day period [1] 0.51857 CountLoss and CountProf should sum to less than the number of interations. When I troubleshoot by reducing the number of iterations and that size of the logprice, I can't reproduce the contradicion. ______________________________________________ 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. ______________________________________________ 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.