Nabble - Rmetrics

Re: quantmod, getSymbols, csv

2008-07-17T10:14:08Z

Something like:

> getSymbols.John
function (Symbols, env, dir = "", return.class = "xts", extension = "csv",
...)
{
importDefaults("getSymbols.csv")
this.env <- environment()
for (var in names(list(...))) {
assign(var, list(...)[[var]], this.env)
}
default.return.class <- return.class
default.dir <- dir
default.extension <- extension
if (missing(verbose))
verbose <- FALSE
if (missing(auto.assign))
auto.assign <- TRUE
for (i in 1:length(Symbols)) {
return.class <- getSymbolLookup()[[Symbols[[i]]]]$return.class
return.class <- ifelse(is.null(return.class), default.return.class,
return.class)
dir <- getSymbolLookup()[[Symbols[[i]]]]$dir
dir <- ifelse(is.null(dir), default.dir, dir)
extension <- getSymbolLookup()[[Symbols[[i]]]]$extension
extension <- ifelse(is.null(extension), default.extension,
extension)
if (verbose)
cat("loading ", Symbols[[i]], ".....")
if (dir == "") {
sym.file <- paste(Symbols[[i]], extension, sep = ".")
}
else {
sym.file <- file.path(dir, paste(Symbols[[i]], extension,
sep = "."))
}
if (!file.exists(sym.file)) {
cat("\nfile ", paste(Symbols[[i]], "csv", sep = "."),
" does not exist ", "in ", dir, "....skipping\n")
next
}
fr <- read.csv(sym.file, header=TRUE) #added header=TRUE
if (verbose)
cat("done.\n")
fr <- xts(matrix(fr$price, dimnames=list(index(x),'price')),
as.Date(fr$date), # added for getSymbols.John
src = "csv", updated = Sys.time()) # added for getSymbols.John

# removed colnames call from original getSymbols.csv

fr <- convert.time.series(fr = fr, return.class = return.class)
Symbols[[i]] <- toupper(gsub("\\^", "", Symbols[[i]]))
if (auto.assign)
assign(Symbols[[i]], fr, env)
}
if (auto.assign)
return(Symbols)
return(fr)
}
<environment: namespace:quantmod>

> getSymbols('CREFglobaleq', src='John')
[1] "CREFGLOBALEQ"
> CREFGLOBALEQ
price
1992-05-01 25.8429
1992-05-04 25.9774
1992-05-05 25.9964
1992-05-06 26.2335
1992-05-07 26.3368

I am also planning on making a skeleton function/functionality much
like newTA does for the charts - so hand modifications will be less
important.

Jeff

On Thu, Jul 17, 2008 at 12:05 PM, Jeff Ryan <jeff.a.ryan@...> wrote:

> Hi John,
>
> getSymbols.csv is not very robust at this time. What needs to be done
> is a clean generalization of the call, for cases that can't be covered
> (like the date in the 3rd col, and superfluous data in cols 1 and 4,
> if I am reading your data correctly).
>
> I suspect something to identify the timestamp column, and the columns
> you would like to include would make this more useful. The other
> option is to create your own custom getSymbols.John function, so
> getSymbols('FILE', src="John") would do exactly what you want. Simply
> adding the below in the appropriate places to the getSymbols.csv
> source would be all that is required.
>
> For now:
>
> x <- read.csv('CREFglobeq.csv',header=TRUE)
> x <- xts(matrix(x$price,dimnames=list(index(x),'price')),as.Date(x$date))
>
> price
> 1992-05-01 25.8429
> 1992-05-04 25.9774
> 1992-05-05 25.9964
> 1992-05-06 26.2335
> 1992-05-07 26.3368
>
> xts can be replaced by zoo, or any other time-series constructor you like.
>
> Jeff
>
>
> On Thu, Jul 17, 2008 at 11:10 AM, John P. Burkett <burkett@...> wrote:
>> Making a first attempt use quantmod's getSymbols to load data from a .csv
>> file, I have encountered a puzzling error message.
>> The response to
>> getSymbols("CREFglobaleq", from="1992-05-01", to="2008-06-30", src="csv")
>> is
>> Error in fromchar(x) :
>> character string is not in a standard unambiguous format
>>
>> My basic problem is ignorance about what is acceptable as "a standard
>> unambiguous format." Explanations or references to documentation would be
>> greatly appreciated.
>>
>> The first few rows of my CREFglobaleq.csv file read as follows:
>> fund , price , date , id
>> CREFglob , 25.8429 , 1992-05-01 , 199205
>> CREFglob , 25.9774 , 1992-05-04 , 199205
>> CREFglob , 25.9964 , 1992-05-05 , 199205
>> CREFglob , 26.2335 , 1992-05-06 , 199205
>> CREFglob , 26.3368 , 1992-05-07 , 199205
>>
>> Best regards,
>> John
>>
>>
>>
>> --
>> John P. Burkett
>> Department of Environmental and Natural Resource Economics
>> and Department of Economics
>> University of Rhode Island
>> Kingston, RI 02881-0808
>> USA
>>
>> phone (401) 874-9195
>>
>> _______________________________________________
>> R-SIG-Finance@... mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan@...
>
> ia: insight algorithmics
> www.insightalgo.com
>

--
Jeffrey Ryan
jeffrey.ryan@...

ia: insight algorithmics
www.insightalgo.com

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Re: quantmod, getSymbols, csv

2008-07-17T10:05:03Z

Hi John,

getSymbols.csv is not very robust at this time. What needs to be done
is a clean generalization of the call, for cases that can't be covered
(like the date in the 3rd col, and superfluous data in cols 1 and 4,
if I am reading your data correctly).

I suspect something to identify the timestamp column, and the columns
you would like to include would make this more useful. The other
option is to create your own custom getSymbols.John function, so
getSymbols('FILE', src="John") would do exactly what you want. Simply
adding the below in the appropriate places to the getSymbols.csv
source would be all that is required.

For now:

x <- read.csv('CREFglobeq.csv',header=TRUE)
x <- xts(matrix(x$price,dimnames=list(index(x),'price')),as.Date(x$date))

price
1992-05-01 25.8429
1992-05-04 25.9774
1992-05-05 25.9964
1992-05-06 26.2335
1992-05-07 26.3368

xts can be replaced by zoo, or any other time-series constructor you like.

Jeff

On Thu, Jul 17, 2008 at 11:10 AM, John P. Burkett <burkett@...> wrote:

> Making a first attempt use quantmod's getSymbols to load data from a .csv
> file, I have encountered a puzzling error message.
> The response to
> getSymbols("CREFglobaleq", from="1992-05-01", to="2008-06-30", src="csv")
> is
> Error in fromchar(x) :
> character string is not in a standard unambiguous format
>
> My basic problem is ignorance about what is acceptable as "a standard
> unambiguous format." Explanations or references to documentation would be
> greatly appreciated.
>
> The first few rows of my CREFglobaleq.csv file read as follows:
> fund , price , date , id
> CREFglob , 25.8429 , 1992-05-01 , 199205
> CREFglob , 25.9774 , 1992-05-04 , 199205
> CREFglob , 25.9964 , 1992-05-05 , 199205
> CREFglob , 26.2335 , 1992-05-06 , 199205
> CREFglob , 26.3368 , 1992-05-07 , 199205
>
> Best regards,
> John
>
>
>
> --
> John P. Burkett
> Department of Environmental and Natural Resource Economics
> and Department of Economics
> University of Rhode Island
> Kingston, RI 02881-0808
> USA
>
> phone (401) 874-9195
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

quantmod, getSymbols, csv

2008-07-17T09:10:54Z

Making a first attempt use quantmod's getSymbols to load data from a
.csv file, I have encountered a puzzling error message.
The response to
getSymbols("CREFglobaleq", from="1992-05-01", to="2008-06-30", src="csv")
is
Error in fromchar(x) :
character string is not in a standard unambiguous format

My basic problem is ignorance about what is acceptable as "a standard
unambiguous format." Explanations or references to documentation would
be greatly appreciated.

The first few rows of my CREFglobaleq.csv file read as follows:
fund , price , date , id
CREFglob , 25.8429 , 1992-05-01 , 199205
CREFglob , 25.9774 , 1992-05-04 , 199205
CREFglob , 25.9964 , 1992-05-05 , 199205
CREFglob , 26.2335 , 1992-05-06 , 199205
CREFglob , 26.3368 , 1992-05-07 , 199205

Best regards,
John

--
John P. Burkett
Department of Environmental and Natural Resource Economics
and Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA

phone (401) 874-9195

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Re: XTS - endpoints omits price changes

2008-07-17T07:57:36Z

Thanks for the suggestions. Between your help and Josh's help I
think I can get it to work. But I need to get it working using the
time periods aligned to the option expiration cycle. I'll keep
working on it. Thanks again for your help.

James

On Jul 16, 2008, at 7:39 PM, Jeff Ryan wrote:

> An alternate (simpler) approach using 'quantmod':
>
>> monthlyReturn(x[,'Close'],type='log')
> monthly.returns
> Jan 2007 0.019013286
> Feb 2007 -0.016934043
> Mar 2007 0.004605120
> Apr 2007 0.054321097
> May 2007 0.031061724
> Jun 2007 0.003999584
> Jul 2007 -0.001471671
> Aug 2007 0.027802621
> Sep 2007 0.050668995
> Oct 2007 0.068045785
> Nov 2007 -0.069992826
> Dec 2007 -0.001755584
>
>> sum(monthlyReturn(x[,'Close'],type='log'))
> [1] 0.1693641
>
>> yearlyReturn(x[,'Close'],type='log')
> yearly.returns
> 2007-12-31 0.1693641
>
> What is being called by periodReturn internally:
>> Delt(Cl(to.monthly(x)),type='log')
> Delt.1.log
> Jan 2007 NA
> Feb 2007 -0.016934043
> Mar 2007 0.004605120
> Apr 2007 0.054321097
> May 2007 0.031061724
> Jun 2007 0.003999584
> Jul 2007 -0.001471671
> Aug 2007 0.027802621
> Sep 2007 0.050668995
> Oct 2007 0.068045785
> Nov 2007 -0.069992826
> Dec 2007 -0.001755584
>
> see ?periodReturn for more info on formats and options.
>
> Jeff
> On Wed, Jul 16, 2008 at 4:30 PM, James <j@...> wrote:
>> Hi,
>>
>>
>> I've been learning to use the XTS package and have run into a
>> problem. If I
>> calculate monthly log normal price relatives as such:
>>
>>> df<-yahooSeries("QQQQ", from = "2007-01-01", to = "2007-12-31",
>>> returnClass=c("data.frame"))
>>> x<-as.xts(df)
>>> names(df)<-c("Open","High","Low","Close","Volume")
>>> period.apply(x$Close, INDEX=endpoints(x, 'months'), FUN=function(x)
>>> sum(diff(log(x))))
>> 2007-01-31 2007-02-28 2007-03-30 2007-04-30 2007-05-31
>> 2007-06-29
>> 2007-07-31 2007-08-31 2007-09-28
>> 0.019013286 -0.015344398 0.009231545 0.052943687 0.027803331
>> 0.003367007 -0.010464725 0.020048207 0.050668995
>> 2007-10-31 2007-11-30 2007-12-31
>> 0.056634772 -0.051098382 0.006660162
>>
>> What happens is that the price change between the last day of the
>> previous
>> month and the first day of the current month is ignored for all 12
>> months.
>> This is a problem because I should, at least in my opinion, be
>> able to add
>> all twelve monthly changes to get the yearly change. And that
>> should be the
>> same as:
>>
>>> period.apply(x$Close, INDEX=endpoints(x, 'years'), FUN=function(x)
>>> sum(diff(log(x))))
>> 2007-12-31
>> 0.1693641
>>
>> But it's not, because 12 daily returns have been left out. Is
>> there a way
>> to change this behavior, so that any given month, or period, will
>> include
>> all the price changes?
>>
>> Thanks,
>>
>> James
>>
>> _______________________________________________
>> R-SIG-Finance@... mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan@...
>
> ia: insight algorithmics
> www.insightalgo.com

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Re: How to format a CSV file output ?

2008-07-17T07:32:50Z

Hi Pierre,

Using Josh's better suggestion:

write.table(format(x,nsmall=5),
quote=FALSE,
col.names=FALSE,
row.names=format(index(x),"%m/%d/%Y, %H:%M"),
sep=", ")

should get you what you want. Note that there is a comma and then a
space in the sep= arg.

07/17/2008, 14:26, 1.940937
07/17/2008, 14:26, 1.936670
07/17/2008, 14:26, 1.921130
07/17/2008, 14:26, 1.965353
07/17/2008, 14:26, 1.958934
07/17/2008, 14:26, 1.914515
07/17/2008, 14:26, 1.991515
07/17/2008, 14:26, 1.970007
07/17/2008, 14:26, 1.994710
07/17/2008, 14:26, 1.942495

Jeff

On Thu, Jul 17, 2008 at 5:24 AM, <pierre8r-list@...> wrote:

> Jeff Ryan <jeff.a.ryan <at> gmail.com> writes:
>
>>
>> Hi Pierre,
>>
>> try:
>>
>> x <- xts(matrix(runif(10,1.9,2)), Sys.time()+1:10)
>>
>> x <-
> matrix(c(strftime(as.POSIXlt(index(x)),'%m/%d/%Y,%H:%M'),x),dimnames=list(NULL,c('','Indec')),nc=2)
>>
>> write.csv(x, row.names=FALSE, quote=FALSE)
>>
>> ,Indec
>> 07/16/2008,14:59,1.92998949340545
>> 07/16/2008,14:59,1.92604529005475
>> 07/16/2008,14:59,1.90992500772700
>> 07/16/2008,14:59,1.90918286179658
>
>
> Hi jeff,
>
> Thanks for the answer.
>
> Because I need to compare two files, I have to format the csv file.
> To compare the two files I use WinMerge :
> http://winmerge.org/
>
> I have slightly changed your code to :
>
> x <- matrix(c(strftime(as.POSIXlt(index(x)),'%m/%d/%Y,%H:%M'),
> format(x, nsmall = 5)), ncol=2)
>
> write.csv(x, row.names=FALSE, quote=FALSE)
>
> But I need a space between the comma and the double, like that :
> The current output :
> 01/08/2007,00:59,1.93025
> 01/08/2007,01:59,1.92955
> 01/08/2007,02:59,1.92885
>
> My target :
> 01/08/2007,00:59, 1.93025
> 01/08/2007,01:59, 1.92955
> 01/08/2007,02:59, 1.92885
>
> Also is it possible to remove the first line ( the V1,V2 stuff ) ?
>
> V1,V2
> 07/17/2008,12:18,1.960615
> 07/17/2008,12:18,1.940416
> 07/17/2008,12:18,1.931146
>
>
> Thanks,
>
> Pierre8r
>
>
> ____________________________________________________
> intelligente http://mail.yahoo.fr
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

Re: Antwort: Re: Optimize question

2008-07-17T06:27:00Z

Thanks for the feedback,

Interesting to see the difference in the methods.

If you play with the convergence criteria then you may well improve on these times. Sometimes the optim algortithms search hard for a very small change in objective value and effectiveley only change the final parameter estimates by miniscule amounts.

Regards

Wayne

-----Original Message-----
From: r-sig-finance-bounces@...
[mailto:r-sig-finance-bounces@...]On Behalf Of
Matthias.Koberstein@...
Sent: 17 July 2008 13:41
To: m_olshansky@...
Cc: r-sig-finance@...;
r-sig-finance-bounces@...
Subject: [R-SIG-Finance] Antwort: Re: Optimize question

Dear all,

thank you for your help regarding the optim speed question.
I just wanted to share my results with you.
After testing all optimization methods, the BFGS algorithm proved the
fastest by quite a bit.
The algorithms performances on a three dimensional problem with ~2200
observations were

BFGS 0:44 min.
L-BFGS -B 1:06 min
NM: 1:28 minutes
CS >3 min.
SANN >3 min.

(all with default convergence)

Matthias S. Koberstein
__________________________________
HSBC Trinkaus
Structured Solutions Group
Königsalle 21/23, 40212 Düsseldorf

Phone: +49 211 910 4412
e-mail: matthias.koberstein@...

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Sitz: Düsseldorf, Königsallee 21/23, 40212 Düsseldorf, Handelsregister:
Amtsgericht Düsseldorf HRB 54447
Mitglieder des Vorstands: Andreas Schmitz (Sprecher), Paul Hagen, Dr. Olaf
Huth, Carola Gräfin v. Schmettow
Vorsitzender des Aufsichtsrats: Dr. Sieghardt Rometsch

Moshe Olshansky
<m_olshansky@yaho
o.com> An
Gesendet von: r-sig-finance@...,
r-sig-finance-bou Matthias.Koberstein@hsbctrinkaus.
nces@... de
hz.ch Kopie

Fax-Deckblatt: Thema
HSBCTuB Re: [R-SIG-Finance] Optimize
17.07.2008 01:35 question

Bitte antworten
an
m_olshansky@yahoo
.com

This may depend on your problem: how many dimensions do you have, is it a
constrained or unconstrained optimization, does your function have smooth
first (and second) derivatives, can you compute them analytically, etc.?

--- On Thu, 17/7/08, Matthias.Koberstein@...
<Matthias.Koberstein@...> wrote:

> From: Matthias.Koberstein@...
<Matthias.Koberstein@...>

> Subject: [R-SIG-Finance] Optimize question
> To: r-sig-finance@...
> Received: Thursday, 17 July, 2008, 12:48 AM
> Hi,
>
> I use the command optim and optimize in a function.
> Unfortunatley the standard method needs a lot of time and
> in accordance to
> the manual is the slowest (Nelder-Maed).
> A more "dirty" optimization qould be sufficient
> for my purposes as long as
> it is faster. The function provides 4 other methods
> ("BFGS", "CG",
> "L-BFGS-B", "SANN")
> but which one is the fastest? Does anyone have eperience
> with that?
>
> Thank you very much in advance
>
> Matthias
>
> **** Ressourcen schonen, weniger drucken - Think before you
> print! ****
>
> ---------------------------------------------------------------------
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> confidential...{{dropped:18}}
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Antwort: Re: Optimize question

2008-07-17T05:41:25Z

Dear all,

thank you for your help regarding the optim speed question.
I just wanted to share my results with you.
After testing all optimization methods, the BFGS algorithm proved the
fastest by quite a bit.
The algorithms performances on a three dimensional problem with ~2200
observations were

BFGS 0:44 min.
L-BFGS -B 1:06 min
NM: 1:28 minutes
CS >3 min.
SANN >3 min.

(all with default convergence)

Matthias S. Koberstein
__________________________________
HSBC Trinkaus
Structured Solutions Group
Königsalle 21/23, 40212 Düsseldorf

Phone: +49 211 910 4412
e-mail: matthias.koberstein@...

**** Ressourcen schonen, weniger drucken - Think before you print! ****

---------------------------------------------------------------------
Diese E-Mail sowie eventuelle Anhänge enthalten vertrauliche und / oder
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gestattet.

This e-mail and any attachments may contain confidential and / or
privileged information. If you are not the intended recipient or have
received this e-mail in error, please notify the sender immediately and
destroy this e-mail . Any unauthorized copying, storing, disclosure or
distribution of the contents of this e-mail is strictly forbidden.

---------------------------------------------------------------------
HSBC Trinkaus & Burkhardt AG
Sitz: Düsseldorf, Königsallee 21/23, 40212 Düsseldorf, Handelsregister:
Amtsgericht Düsseldorf HRB 54447
Mitglieder des Vorstands: Andreas Schmitz (Sprecher), Paul Hagen, Dr. Olaf
Huth, Carola Gräfin v. Schmettow
Vorsitzender des Aufsichtsrats: Dr. Sieghardt Rometsch

Moshe Olshansky
<m_olshansky@yaho
o.com> An
Gesendet von: r-sig-finance@...,
r-sig-finance-bou Matthias.Koberstein@hsbctrinkaus.
nces@... de
hz.ch Kopie

Fax-Deckblatt: Thema
HSBCTuB Re: [R-SIG-Finance] Optimize
17.07.2008 01:35 question

Bitte antworten
an
m_olshansky@yahoo
.com

This may depend on your problem: how many dimensions do you have, is it a
constrained or unconstrained optimization, does your function have smooth
first (and second) derivatives, can you compute them analytically, etc.?

--- On Thu, 17/7/08, Matthias.Koberstein@...
<Matthias.Koberstein@...> wrote:

> From: Matthias.Koberstein@...
<Matthias.Koberstein@...>

Re: How to format a CSV file output ?

2008-07-17T03:24:13Z

Jeff Ryan <jeff.a.ryan <at> gmail.com> writes:

>
> Hi Pierre,
>
> try:
>
> x <- xts(matrix(runif(10,1.9,2)), Sys.time()+1:10)
>
> x <-
matrix(c(strftime(as.POSIXlt(index(x)),'%m/%d/%Y,%H:%M'),x),dimnames=list(NULL,c('','Indec')),nc=2)
>
> write.csv(x, row.names=FALSE, quote=FALSE)
>
> ,Indec
> 07/16/2008,14:59,1.92998949340545
> 07/16/2008,14:59,1.92604529005475
> 07/16/2008,14:59,1.90992500772700
> 07/16/2008,14:59,1.90918286179658

Hi jeff,

Thanks for the answer.

Because I need to compare two files, I have to format the csv file.
To compare the two files I use WinMerge :
http://winmerge.org/

I have slightly changed your code to :

x <- matrix(c(strftime(as.POSIXlt(index(x)),'%m/%d/%Y,%H:%M'),
format(x, nsmall = 5)), ncol=2)

write.csv(x, row.names=FALSE, quote=FALSE)

But I need a space between the comma and the double, like that :
The current output :
01/08/2007,00:59,1.93025
01/08/2007,01:59,1.92955
01/08/2007,02:59,1.92885

My target :
01/08/2007,00:59, 1.93025
01/08/2007,01:59, 1.92955
01/08/2007,02:59, 1.92885

Also is it possible to remove the first line ( the V1,V2 stuff ) ?

V1,V2
07/17/2008,12:18,1.960615
07/17/2008,12:18,1.940416
07/17/2008,12:18,1.931146

Thanks,

Pierre8r

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Re: XTS - endpoints omits price changes

2008-07-16T18:39:17Z

An alternate (simpler) approach using 'quantmod':

> monthlyReturn(x[,'Close'],type='log')
monthly.returns
Jan 2007 0.019013286
Feb 2007 -0.016934043
Mar 2007 0.004605120
Apr 2007 0.054321097
May 2007 0.031061724
Jun 2007 0.003999584
Jul 2007 -0.001471671
Aug 2007 0.027802621
Sep 2007 0.050668995
Oct 2007 0.068045785
Nov 2007 -0.069992826
Dec 2007 -0.001755584

> sum(monthlyReturn(x[,'Close'],type='log'))
[1] 0.1693641

> yearlyReturn(x[,'Close'],type='log')
yearly.returns
2007-12-31 0.1693641

What is being called by periodReturn internally:
> Delt(Cl(to.monthly(x)),type='log')
Delt.1.log
Jan 2007 NA
Feb 2007 -0.016934043
Mar 2007 0.004605120
Apr 2007 0.054321097
May 2007 0.031061724
Jun 2007 0.003999584
Jul 2007 -0.001471671
Aug 2007 0.027802621
Sep 2007 0.050668995
Oct 2007 0.068045785
Nov 2007 -0.069992826
Dec 2007 -0.001755584

see ?periodReturn for more info on formats and options.

Jeff
On Wed, Jul 16, 2008 at 4:30 PM, James <j@...> wrote:

> Hi,
>
>
> I've been learning to use the XTS package and have run into a problem. If I
> calculate monthly log normal price relatives as such:
>
>> df<-yahooSeries("QQQQ", from = "2007-01-01", to = "2007-12-31",
>> returnClass=c("data.frame"))
>> x<-as.xts(df)
>> names(df)<-c("Open","High","Low","Close","Volume")
>> period.apply(x$Close, INDEX=endpoints(x, 'months'), FUN=function(x)
>> sum(diff(log(x))))
> 2007-01-31 2007-02-28 2007-03-30 2007-04-30 2007-05-31 2007-06-29
> 2007-07-31 2007-08-31 2007-09-28
> 0.019013286 -0.015344398 0.009231545 0.052943687 0.027803331
> 0.003367007 -0.010464725 0.020048207 0.050668995
> 2007-10-31 2007-11-30 2007-12-31
> 0.056634772 -0.051098382 0.006660162
>
> What happens is that the price change between the last day of the previous
> month and the first day of the current month is ignored for all 12 months.
> This is a problem because I should, at least in my opinion, be able to add
> all twelve monthly changes to get the yearly change. And that should be the
> same as:
>
>> period.apply(x$Close, INDEX=endpoints(x, 'years'), FUN=function(x)
>> sum(diff(log(x))))
> 2007-12-31
> 0.1693641
>
> But it's not, because 12 daily returns have been left out. Is there a way
> to change this behavior, so that any given month, or period, will include
> all the price changes?
>
> Thanks,
>
> James
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

Re: Optimize question

2008-07-16T16:33:36Z

This may depend on your problem: how many dimensions do you have, is it a constrained or unconstrained optimization, does your function have smooth first (and second) derivatives, can you compute them analytically, etc.?

--- On Thu, 17/7/08, Matthias.Koberstein@... <Matthias.Koberstein@...> wrote:

> From: Matthias.Koberstein@... <Matthias.Koberstein@...>
> Subject: [R-SIG-Finance] Optimize question
> To: r-sig-finance@...
> Received: Thursday, 17 July, 2008, 12:48 AM
> Hi,
>
> I use the command optim and optimize in a function.
> Unfortunatley the standard method needs a lot of time and
> in accordance to
> the manual is the slowest (Nelder-Maed).
> A more "dirty" optimization qould be sufficient
> for my purposes as long as
> it is faster. The function provides 4 other methods
> ("BFGS", "CG",
> "L-BFGS-B", "SANN")
> but which one is the fastest? Does anyone have eperience
> with that?
>
> Thank you very much in advance
>
> Matthias
>
> **** Ressourcen schonen, weniger drucken - Think before you
> print! ****
>
> ---------------------------------------------------------------------
> Diese E-Mail sowie eventuelle Anhänge enthalten
> vertrauliche und / oder
> rechtlich geschützte Informationen. Wenn Sie nicht der
> richtige Adressat
> sind oder diese E-Mail irrtümlich erhalten haben,
> informieren Sie bitte
> sofort den Absender und vernichten Sie diese Mail. Das
> unerlaubte Kopieren
> oder Speichern sowie die unbefugte Weitergabe dieser E-Mail
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> gestattet.
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Re: XTS - endpoints omits price changes

2008-07-16T15:12:02Z

Hi James,

period.apply works *within* the given interval, so it will not use the
previous month's values in any calculation. The diff function omits
the first value for each month by default, which are your missing
days' returns.

To achieve your desired result you could calculate daily returns
before calling period.apply:
period.apply(diff(log(x$Close),na.pad=TRUE), INDEX=endpoints(x,
'months'), FUN=sum)
# returns a 'zoo' series

Or you can calculate returns on the end-of-month values only:
diff(log(x[endpoints(x,'months'),'Close']))

But you need the Close for the last day of 2006-12 in order to
calculate the return for the first day of 2007 and therefore calculate
the year's return by your definition.

Best,
Josh

--
http://quantemplation.blogspot.com

On Wed, Jul 16, 2008 at 4:30 PM, James <j@...> wrote:

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XTS - endpoints omits price changes

2008-07-16T14:30:31Z

Hi,

I've been learning to use the XTS package and have run into a
problem. If I calculate monthly log normal price relatives as such:

> df<-yahooSeries("QQQQ", from = "2007-01-01", to = "2007-12-31",
returnClass=c("data.frame"))
> x<-as.xts(df)
> names(df)<-c("Open","High","Low","Close","Volume")
> period.apply(x$Close, INDEX=endpoints(x, 'months'), FUN=function
(x) sum(diff(log(x))))
2007-01-31 2007-02-28 2007-03-30 2007-04-30 2007-05-31
2007-06-29 2007-07-31 2007-08-31 2007-09-28
0.019013286 -0.015344398 0.009231545 0.052943687 0.027803331
0.003367007 -0.010464725 0.020048207 0.050668995
2007-10-31 2007-11-30 2007-12-31
0.056634772 -0.051098382 0.006660162

What happens is that the price change between the last day of the
previous month and the first day of the current month is ignored for
all 12 months. This is a problem because I should, at least in my
opinion, be able to add all twelve monthly changes to get the yearly
change. And that should be the same as:

> period.apply(x$Close, INDEX=endpoints(x, 'years'), FUN=function(x)
sum(diff(log(x))))
2007-12-31
0.1693641

But it's not, because 12 daily returns have been left out. Is there
a way to change this behavior, so that any given month, or period,
will include all the price changes?

Thanks,

James

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Re: Optimize question

2008-07-16T09:58:12Z

Also note that there is convergence, and convergence
to an answer that is good enough.

Patrick Burns
patrick@...
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Wayne.W.Jones@... wrote:

> Hi,
>
> Nelder and Mead is slow to converge but has the advantage that objective function derivatives need not be calculated.
>
> Sometimes speed to convergence is dependent on the problem in hand, so I suggest you set up a test optimisation and try each method in turn to benchmark each method.
>
>
> Regards
>
> Wayne
>
>
>
> -----Original Message-----
> From: r-sig-finance-bounces@...
> [mailto:r-sig-finance-bounces@...]On Behalf Of
> Matthias.Koberstein@...
> Sent: 16 July 2008 15:49
> To: r-sig-finance@...
> Subject: [R-SIG-Finance] Optimize question
>
>
>
> Hi,
>
> I use the command optim and optimize in a function.
> Unfortunatley the standard method needs a lot of time and in accordance to
> the manual is the slowest (Nelder-Maed).
> A more "dirty" optimization qould be sufficient for my purposes as long as
> it is faster. The function provides 4 other methods ("BFGS", "CG",
> "L-BFGS-B", "SANN")
> but which one is the fastest? Does anyone have eperience with that?
>
> Thank you very much in advance
>
> Matthias
>
> **** Ressourcen schonen, weniger drucken - Think before you print! ****
>
> ---------------------------------------------------------------------
> Diese E-Mail sowie eventuelle Anhänge enthalten vertrauliche und / oder
> rechtlich geschützte Informationen. Wenn Sie nicht der richtige Adressat
> sind oder diese E-Mail irrtümlich erhalten haben, informieren Sie bitte
> sofort den Absender und vernichten Sie diese Mail. Das unerlaubte Kopieren
> oder Speichern sowie die unbefugte Weitergabe dieser E-Mail sind nicht
> gestattet.
>
> This e-mail and any attachments may contain confidential...{{dropped:18}}
>
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>
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Re: time series question

2008-07-16T08:47:15Z

Its not clear from your question what "time series" package refers to
as there are many such packages in R but if your series is a ts series
then see ?aggregate.ts and if its a zoo series see ?aggregate.zoo .
The latter has specific examples of monthly and quarterly aggregations.
Jeff has already mentioned xts and for the fame package see ?convert

On Wed, Jul 16, 2008 at 7:55 AM, Yalla, Swaroop (FID)
<Swaroop.Yalla@...> wrote:

> I am using the time series package and have a regularly spaced daily
> time-series. How do I convert it to a monthly or quarterly time-series
> (i.e. up-sample the time series). Is there a method to do that??
>
> Also, as a side questions - what is the best method to find maximum
> correlation between two time-series, one of which lags the other.
>
> thanks
> --------------------------------------------------------
>
> This is not an offer (or solicitation of an offer) to bu...{{dropped:23}}
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
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Re: How to format a CSV file output ?

2008-07-16T08:10:34Z

write.csv(x, file = "OutputIndic.csv", quote = FALSE, row.names =
format(index(x), "%m/%d/%Y,%H:%M:%S"))

--
http://quantemplation.blogspot.com

On Wed, Jul 16, 2008 at 9:32 AM, <pierre8r-list@...> wrote:

> Hello,
>
> Here my R code :
>
> library(xts)
> library(quantmod)
>
> quotes <- read.csv2("E:\\00001-Compare\\Output\\OutputJBacktesting\\InputIndic.txt",
> header = FALSE, sep = ",", dec=".")
>
> x <- xts(as.matrix(quotes[,-1]),as.POSIXct(paste(quotes[,1]),format='%m/%d/%Y
> %H:%M'))
> colnames(x) <- c('Indic')
> x
>
> write.csv(x, file = "OutputIndic.csv", quote = FALSE, row.names = FALSE)
>
> The x give this output to the R Console :
>
>> colnames(x) <- c('Indic')
>> x
> Indic
> 2007-01-08 00:59:00 1.93025
> 2007-01-08 01:59:00 1.92960
> 2007-01-08 02:59:00 1.92805
>
>
> My goal is to generate this kind of CSV output :
>
> 01/08/2007,00:59, 1.93025
> 01/08/2007,01:59, 1.92955
> 01/08/2007,02:59, 1.92885
>
> My write.csv generate this CSV output :
>
> Indic
> 1.93025
> 1.9296
> 1.92805
>
> How to generate this kind of output ?
>
> 01/08/2007,00:59, 1.93025
> 01/08/2007,01:59, 1.92955
>
> Thanks,
>
> Pierre8r
>
>
>
> ____________________________________________________________
> ente http://mail.yahoo.fr
>
> _______________________________________________
> R-SIG-Finance@... mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>

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Re: How to format a CSV file output ?

2008-07-16T08:05:29Z

Hi Pierre,

try:

x <- xts(matrix(runif(10,1.9,2)), Sys.time()+1:10)

x <- matrix(c(strftime(as.POSIXlt(index(x)),'%m/%d/%Y,%H:%M'),x),dimnames=list(NULL,c('','Indec')),nc=2)

write.csv(x, row.names=FALSE, quote=FALSE)

,Indec
07/16/2008,14:59,1.92998949340545
07/16/2008,14:59,1.92604529005475
07/16/2008,14:59,1.90992500772700
07/16/2008,14:59,1.90918286179658
07/16/2008,14:59,1.98319136707578
07/16/2008,14:59,1.95377100475598
07/16/2008,14:59,1.90766719337553
07/16/2008,14:59,1.9713675866602
07/16/2008,14:59,1.94339190139435
07/16/2008,14:59,1.95427884196397

HTH
Jeff

On Wed, Jul 16, 2008 at 9:32 AM, <pierre8r-list@...> wrote:

Re: Optimize question

2008-07-16T08:04:49Z

Hi,

Nelder and Mead is slow to converge but has the advantage that objective function derivatives need not be calculated.

Sometimes speed to convergence is dependent on the problem in hand, so I suggest you set up a test optimisation and try each method in turn to benchmark each method.

Regards

Wayne

-----Original Message-----
From: r-sig-finance-bounces@...
[mailto:r-sig-finance-bounces@...]On Behalf Of
Matthias.Koberstein@...
Sent: 16 July 2008 15:49
To: r-sig-finance@...
Subject: [R-SIG-Finance] Optimize question

Hi,

I use the command optim and optimize in a function.
Unfortunatley the standard method needs a lot of time and in accordance to
the manual is the slowest (Nelder-Maed).
A more "dirty" optimization qould be sufficient for my purposes as long as
it is faster. The function provides 4 other methods ("BFGS", "CG",
"L-BFGS-B", "SANN")
but which one is the fastest? Does anyone have eperience with that?

Thank you very much in advance

Matthias

**** Ressourcen schonen, weniger drucken - Think before you print! ****

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Optimize question

2008-07-16T07:48:50Z

Hi,

I use the command optim and optimize in a function.
Unfortunatley the standard method needs a lot of time and in accordance to
the manual is the slowest (Nelder-Maed).
A more "dirty" optimization qould be sufficient for my purposes as long as
it is faster. The function provides 4 other methods ("BFGS", "CG",
"L-BFGS-B", "SANN")
but which one is the fastest? Does anyone have eperience with that?

Thank you very much in advance

Matthias

**** Ressourcen schonen, weniger drucken - Think before you print! ****

---------------------------------------------------------------------
Diese E-Mail sowie eventuelle Anhänge enthalten vertrauliche und / oder
rechtlich geschützte Informationen. Wenn Sie nicht der richtige Adressat
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sofort den Absender und vernichten Sie diese Mail. Das unerlaubte Kopieren
oder Speichern sowie die unbefugte Weitergabe dieser E-Mail sind nicht
gestattet.

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How to format a CSV file output ?

2008-07-16T07:32:26Z

Hello,

Here my R code :

library(xts)
library(quantmod)

quotes <- read.csv2("E:\\00001-Compare\\Output\\OutputJBacktesting\\InputIndic.txt",
header = FALSE, sep = ",", dec=".")

x <- xts(as.matrix(quotes[,-1]),as.POSIXct(paste(quotes[,1]),format='%m/%d/%Y
%H:%M'))
colnames(x) <- c('Indic')
x

write.csv(x, file = "OutputIndic.csv", quote = FALSE, row.names = FALSE)

The x give this output to the R Console :

> colnames(x) <- c('Indic')
> x
Indic
2007-01-08 00:59:00 1.93025
2007-01-08 01:59:00 1.92960
2007-01-08 02:59:00 1.92805

My goal is to generate this kind of CSV output :

01/08/2007,00:59, 1.93025
01/08/2007,01:59, 1.92955
01/08/2007,02:59, 1.92885

My write.csv generate this CSV output :

Indic
1.93025
1.9296
1.92805

How to generate this kind of output ?

01/08/2007,00:59, 1.93025
01/08/2007,01:59, 1.92955

Thanks,

Pierre8r

____________________________________________________________
ente http://mail.yahoo.fr

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Re: time series question

2008-07-16T05:32:07Z

I am not entirely sure which package you are referring to, but I will
assume you mean the timeSeries class from fSeries.

>From almost any time-series class you can use the to.period function
in the 'xts' package. See ?to.period

library(fSeries)
library(quantmod)

getSymbols("QQQQ", ret='timeSeries')
#will load QQQQ into your workspace

to.period(QQQQ, 'months')
#or
to.monthly(QQQQ)

#or for quarterly

to.quarterly(QQQQ)

to.period is smart enough to make sure the class you pass in is the
class you get back.

With respect to 'maximum correlation' I am not too sure what you mean
by that... but see ?lag and ?Lag for a start.

Jeff

On Wed, Jul 16, 2008 at 6:55 AM, Yalla, Swaroop (FID)
<Swaroop.Yalla@...> wrote:

time series question

2008-07-16T05:12:31Z

I am using the time series package and have a regularly spaced daily
time-series. How do I convert it to a monthly or quarterly time-series
(i.e. up-sample the time series). Is there a method to do that??

Also, as a side questions - what is the best method to find maximum
correlation between two time-series, one of which lags the other.

thanks
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time series question

2008-07-16T04:55:39Z