I have a large data frame with 2,000 rows and 600 columns. I can write
loops to solve a smaller problem, but I need a better strategy for this
data frame.
Below is a simple example with just two stocks.
In the data frame, each row represents a trading day. The first column
is dates. The next group of columns represents the prices of the stocks
on the specified dates. The next group of columns represents how many
trading days I wish to offset. So if the first trading day is 2006-01-03
and OF1 == 3, then I need to go to row 1+3 and get the price in column
P1. The result is placed in row 1 of column 6.
df1 = data.frame(matrix(rep(NA, 10*7), nrow = 10))
Dates =as.Date(c("2006-01-03", "2006-01-04", "2006-01-05", "2006-01-06",
"2006-01-09", "2006-01-10", "2006-01-11",
"2006-01-12", "2006-01-13", "2006-01-16"), format = "%Y-%m-%d")
P1 = 10:19
P2 = 100:109
OF1 = c(3,3,4,5,2,2,2,1,1,0)
OF2 = c(5,3,4,2,1,2,2,1,1,0)
df1 = data.frame(Dates = Dates, P1 = P1, P2 = P2, OF1 = OF1, OF2 = OF2)
df1$newPrice1 = rep(NA, 10)
df1$newPrice2 = rep(NA, 10)
for(j in 6:7) {
for(i in 1:10 ) {
rowNumber = i + df1[i,j-2]
#print(rowNumber)
df1[i,j] = df1[rowNumber, j-4]
} # end i loop
} # end j loop
df1
> df1
Dates P1P2 OF1 OF2 newPrice1 newPrice2
1 2006-01-03 10 1003513105
22006-01-04 11 1013314104
32006-01-05 12 1024416106
42006-01-06 13 1035218105
52006-01-09 14 1042116105
62006-01-10 15 1052217107
72006-01-11 16 1062218108
82006-01-12 17 1071118108
92006-01-13 18 1081119109
10 2006-01-16 19 1090019109
[[alternative HTML version deleted]]
______________________________________________
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.
