[R] vectorizing a double loop
Hello,
I have to build a function that takes a time serie and calculate the momentum.
For each date of the serie, I have to build a loop to calculate it using the
last few data.
My problem is that it takes one minute to compute and I need to run this
function very often.
I would like to vectorize it, as much as possible.
Can somebody help me? I have read the
http://www.burns-stat.com/pages/Tutor/R_inferno.pdf tutorial but it seems I am
not smart enough to vectorize this.
here is the code of my function:
momentum = function(price,H,N,HL) {
indicator = price#creates the empty
vector for the indicator
indicator[,1]=0
if ((H/N)==floor(H/N)) {#Checks if length
of subperiods is an integer
for (i in 1:(length(indicator)-H)) {
ph=last(price,H+1)#Horizon time data
list
horizonPerformance=as.numeric(last(ph))/as.numeric(first(ph))-1
#Performance over the time horizon
for (j in 1:N) {
phj=last(first(ph,(N-j+1)*H/N+1),H/N+1)#subperiod
data list
periodPerf=as.numeric(last(phj))/as.numeric(first(phj))-1
#Performance over period j
if (periodPerf*horizonPerformance>0)#checks
consistency with time horizon perf
indicator[length(indicator)-i+1,1]=indicator[length(indicator)-i+1,1]+sign(periodPerf)
}
price=last(price,-1)#shift the data list
}
}
return(indicator)
}
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Re: [R] Decompose function : calculation of each component
as tu lu l'article suggere dans l'aide: M. Kendall and A. Stuart (1983) The Advanced Theory of Statistics, Vol.3, Griffin, 410414. > Date: Mon, 6 Jul 2009 13:22:17 -0700 > From: m.gha...@yahoo.fr > To: r-help@r-project.org > Subject: [R] Decompose function : calculation of each component > > > Hello, > > I'd like to know how R does calculate each component in the decompose() > function? > More precisely, how is calculated the final trend component in this > function? > > Thanks for your answer > Myriam > -- > View this message in context: > http://www.nabble.com/Decompose-function-%3A-calculation-of-each-component-tp24362207p24362207.html > Sent from the R help mailing list archive at Nabble.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. _ [[elided Hotmail spam]] [[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.
Re: [R] Fitting a trend-line
Why dont you do a linear regression? > Date: Wed, 8 Jul 2009 15:01:19 +0530 > From: anupam.cont...@gmail.com > To: r-help@r-project.org > Subject: [R] Fitting a trend-line > > Hi all, > I am new to R. How does one go about fitting a trend-line to a > scatter plot? Any help is appreciated. > > Thanks and regards, > > Anupam > > [[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. _ [[elided Hotmail spam]] [[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.
[R] RODBC and sqlSave issue
Hello,
I contact you after having unsuccessfully asked my question to R mailing list.
I use the package RODBC to connect to a MS-SQL server.
I am able to getQuery from the database.
I
am now studying the sqlSave some data into the database. Unfortunetly,
I meet some issues relating to the format of the data that arrives into
the database. I have three columns. The first one should be in the
MS-SQL format "datetime". The second one in the MS-SQL format
"varchar(50)", and the third one in the MS-SQl format "numeric(20,8)".
I use the following command line:
> sqlSave(channel, DF, tablename="essai_global", rownames=FALSE, oldstyle=FALSE)
The data is indeed send to the database. But the types are wrong (varchar(255)
pour les trois colonnes.)
I have then tried to use the varTypes argument, but I do not manage to use it.
If I use the following command lines:
> varTypes=c("datetime","varchar(50)","numeric(20,8)")
> sqlSave(channel, DF, tablename="essai_global", rownames=FALSE, oldstyle=FALSE)
I have the following resturn:
Warning message:
In sqlSave(channel, DF, tablename = "essai_global", rownames = FALSE, :
argument 'varTypes' has no names and will be ignored
and the types are still wrong..
How can I use the varTypes??? I have read the documentation, but I dd not
manage to find out.
Thank you very much
Wapita
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[R] change capital to small letters?
Hello R users, I have a string of characters in capital letters and I need to convert it in small letters, is there an easy way to do it? Thanks a lot Wapita _ Découvrez toutes les possibilités de communication avec vos proches [[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.
Re: [R] change capital to small letters?
ok, find! ?toupper ?tolower sorry!!! (but you have perhaps learned something...) From: wap...@hotmail.com To: r-help@r-project.org Subject: change capital to small letters? Date: Thu, 9 Jul 2009 03:07:35 + Hello R users, I have a string of characters in capital letters and I need to convert it in small letters, is there an easy way to do it? Thanks a lot Wapita Découvrez toutes les possibilités de communication avec vos proches _ r ! Téléchargez-le maintenant ! [[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.
[R] adjusting grid on Xaxis ticks
Hello, I have been trying to plot correctly a graph for 2 month now, with no success.I want to put a grid, adjusted on the X axis tickers. Here is the way I build my X-Axis and my grid: grid(11, NULL, col="grey40") axis(2) # build the tickers on the beginning of each monthticks.at <- seq(ISOdatetime(lastYear, 01, 01, hour=0, min=0, sec=0, tz="GMT"), ISOdatetime(lastYear, 12, 31, hour=0, min=0, sec=0, tz="GMT"), by = "months") ticks.lab <- format(ticks.at, format = "%b") Axis(ISOdatetime(lastYear, substr(index(xts1),6,7), substr(index(xts1),9,10), hour=0, min=0, sec=0, tz="GMT"), at = ticks.at, side = 1, labels = ticks.lab, las = 2) box() If anyone can help me, I would be very grateful. Xavier _ [[elided Hotmail spam]] [[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.
Re: [R] adjusting grid on Xaxis ticks
Thank you j, its perfect!!
Wapita
> Date: Fri, 24 Jul 2009 06:41:16 -0400
> Subject: Re: [R] adjusting grid on Xaxis ticks
> From: jholt...@gmail.com
> To: wap...@hotmail.com
> CC: r-help-boun...@r-project.org; r-help@r-project.org
>
> is this what you want:
>
> plot(0, xlim=as.POSIXct(c('2009-01-01', '2009-12-31')), xaxt='n')
> x <- seq(as.POSIXct('2009-01-01'), as.POSIXct('2009-12-13'), by='1 month')
> axis(1, at=x, labels=format(x, "%b"))
> abline(v=x, lty=2)
>
>
> On Thu, Jul 23, 2009 at 11:37 PM, wapita wapita wrote:
> >
> > Hello,
> > I have been trying to plot correctly a graph for 2 month now, with no
> > success.I want to put a grid, adjusted on the X axis tickers.
> > Here is the way I build my X-Axis and my grid:
> >
> >
> > grid(11, NULL, col="grey40")
> > axis(2)
> >
> > # build the tickers on the beginning of each monthticks.at <-
> > seq(ISOdatetime(lastYear, 01, 01, hour=0, min=0, sec=0, tz="GMT"),
> > ISOdatetime(lastYear, 12, 31, hour=0, min=0, sec=0, tz="GMT"), by =
> > "months")
> > ticks.lab <- format(ticks.at, format = "%b")
> > Axis(ISOdatetime(lastYear, substr(index(xts1),6,7),
> > substr(index(xts1),9,10), hour=0, min=0, sec=0, tz="GMT"), at = ticks.at,
> > side = 1, labels = ticks.lab, las = 2)
> > box()
> >
> >
> > If anyone can help me, I would be very grateful.
> > Xavier
> > _
> >
> > [[elided Hotmail spam]]
> >
> >[[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.
> >
>
>
>
> --
> Jim Holtman
> Cincinnati, OH
> +1 513 646 9390
>
> What is the problem that you are trying to solve?
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