R - End a loop on a fixed number of rows - r

Question

I have a loop that begins when a certain condition exits. It begins when the value is below -.1.0 The loop exits when the condition is over 1.0
#Loop for long entry and exit signal
entry <- -1.0 #Input value for entry
exit <- 1.o #Input value for exit
mydf$sig_long[[1]] = ifelse(mydf$roll.z.score.n3[[1]] < (entry), 1, 0)
for (i in 2:nrow(mydf)){
mydf$sig_long[i] = ifelse(mydf$roll.z.score.n3[i] < (entry), 1,
ifelse(mydf$roll.z.score.n3[i] > (exit), 0,
mydf$sig_long[i-1]))
}
I wanted to learn how to use the same loop but instead of exit on values > 1.0 Exit after a set number of lines. If for example I set nline variable to 5. It would loop and print 1, for a total of 5 lines after the initial entry. An example data frame below:
roll.z.score.n3
1 0
2 0
3 0.651651537
4 -1.153593891
5 -0.926552368
6 -0.369016769
7 0.65405595
8 -1.139305279
9 0.358231351
10 1.135314685
11 0.944997472
12 -0.293105191
13 -1.146659778
14 -0.66246734
15 -1.131901741
16 -0.600480649
17 -1.152333435
18 1.1025176
19 -0.144684006
20 -0.678000883
21 -1.146875039
22 -1.132235788
23 0.115583229
24 0.645489447
25 1.148754398
26 0.988193418
27 -0.818892395
After the script has run I would use zoo to +1 line the sig_long column.
new.df$sig_long <- Lag(new.df$sig_long,1)
Code Testing
Ok so i see the issue. As we are specifying the first part of the loop to enter and exit between -1.0 and 1.0 this prints 1's between those two criteria in the new.df$sig_long column. The issue arises if I set the nlines to 5. The entry/exit might exit the trade in 3 lines in the sig_long column. If that is the case, rollsum has no 1's to count in that column, even if i want to hold for 5 lines, if theres only 3 1's from entry... its not going to be able to compute the 5 line hold time. Perhaps we can use the first part of the loop like this in order to print a 1 at the entry condition:
new.df$sig_long <- ifelse(new.df$roll.z.score.n3 < -1.0 , 1, 0) #Set 1 at entry criteria
That sets the 1 at each < -1.0 value. Next would be how to count +5 lines from that point forward. Counting until...1,2,3,4,5, else 0... 0, until next +1.... count until 1,2,3,4,5, else 0, 0 until next +1....
I can see the logic... if newdf$sig_long == 1, count until nlines 5, else 0, repeat...
Then the 2nd part of the loop would work I think for the new_sig_long column

Answer 1

Made many changes. This should now work:
zz = '
roll.z.score.n3 sig_long
1 NA 0
2 NA 0
3 -1.135974424 0
4 0.193311168 1
5 0.714285714 1
6 -1.148753543 1
7 -0.942160394 1
8 -0.695763683 1
9 1.140646864 1
10 0.985196899 0
11 -0.768766574 0
12 -1.011293858 0
13 -0.516703612 1
14 -1.120897077 1
15 1.091089451 1
16 0.968364052 0
17 0.872871561 0
18 1.099524999 0
19 0.918397948 0
'
df <- read.table(text = zz, header = TRUE)
df = na.omit(df)
df$sig_long[[1]] = ifelse(df$roll.z.score.n3[[1]] < (-1), 1, 0)
for (i in 2:nrow(df)){
df$sig_long[i] = ifelse(df$roll.z.score.n3[i] < (-1), 1,
ifelse(df$roll.z.score.n3[i] > 1, 0,
df$sig_long[i-1]))
}
df$sig_long <- Lag(df$sig_long, 1)
colnames(df[, 2]) = "sig_long"
df = na.omit(df)
nlines = 5
df$rollsum = rollsumr(df$sig_long, k = nlines, fill = 0)
colnames(df[, 3]) = "rollsum"
df$new_sig_long[[1]] = ifelse(df$roll.z.score.n3[[1]] < (-1), 1, 0)
for (i in 2:nrow(df)){
df$new_sig_long[i] = ifelse(df$roll.z.score.n3[i] < (-1) & df$rollsum[i] < 5, 1,
ifelse(df$roll.z.score.n3[i] > 1 | df$rollsum[i] >= 5, 0,
df$sig_long[i-1]))
}
df
Output:
> df
roll.z.score.n3 sig_long rollsum new_sig_long
# 4 0.1933112 1 0 0
# 5 0.7142857 1 0 1
# 6 -1.1487535 1 0 1
# 7 -0.9421604 1 0 1
# 8 -0.6957637 1 5 0
# 9 1.1406469 1 5 0
# 10 0.9851969 0 4 1
# 11 -0.7687666 0 3 0
# 12 -1.0112939 0 2 1
# 13 -0.5167036 1 2 0
# 14 -1.1208971 1 2 1
# 15 1.0910895 1 3 0
# 16 0.9683641 0 3 1
# 17 0.8728716 0 3 0
# 18 1.0995250 0 2 0
# 19 0.9183979 0 1 0
Then you can take the lag of the new_sig_long if you wish.