Remove incomplete month from monthly return calculation - r

I have some code for grabbing stock prices and calculating monthly returns. I would like to drop the last return if the price used to calculate it did not occur at month end. For example, running the code below returns prices through 2014-06-13. And, the monthlyReturn function calculates a return for June even though there hasn't been a full month. Is there an easy way to make sure monthlyReturn is only computing returns on full months or to drop the last month from the return vector if it wasn't calculated on a full month of prices?
library(quantmod)
symbols <- c('XLY', 'XLP', 'XLE', 'XLF', 'XLV', 'XLI', 'XLB', 'XLK', 'XLU')
Stock <- xts()
Prices <- xts()
for (i in 1:length(symbols)){
Stock <- getSymbols(symbols[i],auto.assign = FALSE)
Prices <- merge(Prices,Stock[,6])
}
returns <- do.call(cbind, lapply(Prices, monthlyReturn, leading=FALSE))
names(returns) <- symbols
I found this bit of code, but it seems to have some limitations. Is there a way to improve this?
if(tail(index(x.xts),1) != as.Date(as.yearmon(tail(index(x.xts),1)), frac=1)){
x.m.xts = x.m.xts[-dim(x.m.xts)[1],]
}
# That test isn't quite right, but its close. It won't work on the first
# day of a new month when the last business day wasn't the last day of
# the month. It will work for the second day.

You can use negative subsetting with xts:::last.xts. This will remove the last month
last(returns, "-1 months")
But you only want to remove the last month if the month hasn't ended yet, so compare the month of the last row, with the month of the current date.
if (format(end(returns), "%Y%m") == format(Sys.Date(), "%Y%m"))
returns <- last(returns, "-1 month")

Related

Is there a way to use the round date to next trading day while keeping both date and variable columns in R?

How can I round the dates in the date column to the following business day? So each Saturday, Sunday and holiday should be transformed to the following business day. Furthermore, how can we include the output from the other columns as well in the transformation to following business days?
I tried this with the bizdays function:
TestDates <- RawTweetDataWSentiment
View(TestDates)
bizdays.options$set(default.calendar="UnitedKingdom/ANBIMA")
cal <- create.calendar("UnitedKingdom/ANBIMA", holidays=holidaysANBIMA, weekdays=c("saturday", "sunday"))
adjust.next(TestDates$Date, cal)
TestDates1 <- adjust.next(TestDates$Date, cal)
View(TestDates1)
This however only returns the date column
Does anyone know how to do this in R?

Next week day for a given vector of dates

I'm trying to get the next week day for a vector of dates in R. My approach was to create a vector of weekdays and then find the date to the weekend date I have. The problem is that for Saturday and some holidays (which are a lot in my country) i end up getting the previous week day which doesn't work.
This is an example of my problem:
vecDates = as.Date(c("2011-01-11","2011-01-12","2011-01-13","2011-01-14","2011-01-17","2011-01-18",
"2011-01-19","2011-01-20","2011-01-21","2011-01-24"))
testDates = as.Date(c("2011-01-22","2011-01-23"))
findInterval(testDates,vecDates)
for both dates the correct answer should be 10 which is "2011-01-24" but I get 9.
I though of a solution where I remove all the previous dates to the date i'm analyzing, and then use findInterval. It works but it is not vectorized and therefore kind of slow which does not work for my actual purpose.
Does this do what you want?
vecDates = as.Date(c("2011-01-11","2011-01-12",
"2011-01-13","2011-01-14",
"2011-01-17","2011-01-18",
"2011-01-19","2011-01-20",
"2011-01-21","2011-01-24"))
testDates = as.Date(c("2011-01-20","2011-01-22","2011-01-23"))
get_next_biz_day <- function(testdays, bizdays){
o <- findInterval(testdays, bizdays) + 1
bizdays[o]
}
get_next_biz_day(testDates, vecDates)
#[1] "2011-01-21" "2011-01-24" "2011-01-24"

monthlyReturn and unequal month length

I have 300+ companies and need to calculate monthly return for them and later use it as one of the variables in my data set.
I download prices from Yahoo and calculated monthly return using quantmod package:
require(quantmod)
stockData <- lapply(symbols,function(x) getSymbols(x,auto.assign=FALSE, src='yahoo', from = '2000-01-01'))
stockDataReturn <- lapply(stockData,function(x) monthlyReturn(Ad(x)))
The problem I have is that some companies have different month ends (due to trading halts, etc.) which is reflected in the output list: 2013-12-30 for company AAA and 2013-12-31 for company BBB and the rest of the sample.
When I merge the list using
returns <- do.call(merge.xts, stockDataReturn)
It creates a separate row for 2013-12-30 with all NAs except for AAA company.
How can I resolve this? My understanding is that I need to need to stick to month-year format which I need to use as the index before I merge.
Ideally, what I want is that at the monthlyReturn stage, it uses the beginning of the month date rather than end of the month.
You could use lubridate's floor_date to merge on the same beginning of the month timestamp rather than end of the month timestamp. Or use ceiling date to round to the same end of month timestamp for all securities before merging.
library(lubridate)
stockDataReturn <- lapply(stockDataReturn,
function(x) {
index(x) <- floor_date(index(x), "month")
# Or if you want to round to end of month change to:
# index(x) <- ceiling_date(index(x), "month")
x
})
returns <- do.call(merge, stockDataReturn)
colnames(returns) <- symbols

How do I subset every day except the last five days of zoo data?

I am trying to extract all dates except for the last five days from a zoo dataset into a single object.
This question is somewhat related to How do I subset the last week for every month of a zoo object in R?
You can reproduce the dataset with this code:
set.seed(123)
price <- rnorm(365)
data <- cbind(seq(as.Date("2013-01-01"), by = "day", length.out = 365), price)
zoodata <- zoo(data[,2], as.Date(data[,1]))
For my output, I'm hoping to get a combined dataset of everything except the last five days of each month. For example, if there are 20 days in the first month's data and 19 days in the second month's, I only want to subset the first 15 and 14 days of data respectively.
I tried using the head() function and the first() function to extract the first three weeks, but since each month will have a different amount of days according to month or leap year months, it's not ideal.
Thank you.
Here are a few approaches:
1) as.Date Let tt be the dates. Then we compute a Date vector the same length as tt which has the corresponding last date of the month. We then pick out those dates which are at least 5 days away from that:
tt <- time(zoodata)
last.date.of.month <- as.Date(as.yearmon(tt), frac = 1)
zoodata[ last.date.of.month - tt >= 5 ]
2) tapply/head For each month tapply head(x, -5) to the data and then concatenate the reduced months back together:
do.call("c", tapply(zoodata, as.yearmon(time(zoodata)), head, -5))
3) ave Define revseq which given a vector or zoo object returns sequence numbers in reverse order so that the last element corresponds to 1. Then use ave to create a vector ix the same length as zoodata which assigns such reverse sequence numbers to the days of each month. Thus the ix value for the last day of the month will be 1, for the second last day 2, etc. Finally subset zoodata to those elements corresponding to sequence numbers greater than 5:
revseq <- function(x) rev(seq_along(x))
ix <- ave(seq_along(zoodata), as.yearmon(time(zoodata)), FUN = revseq)
z <- zoodata[ ix > 5 ]
ADDED Solutions (1) and (2).
Exactly the same way as in the answer to your other question:
Split dataset by month, remove last 5 days, just add a "-":
library(xts)
xts.data <- as.xts(zoodata)
lapply(split(xts.data, "months"), last, "-5 days")
And the same way, if you want it on one single object:
do.call(rbind, lapply(split(xts.data, "months"), last, "-5 days"))

From MMDD to day of the year in R

I have this .txt file:
http://pastebin.com/raw.php?i=0fdswDxF
First column (Date) shows date in month/day
So 0601 is the 1st of June
When I load this into R and I show the data, it removes the first 0 in the data.
So when loaded it looks like:
601
602
etc
For 1st of June, 2nd of June
For the months 10,11,12, it remains unchanged.
How do I change it back to 0601 etc.?
What I am trying to do is to change these days into the day of the year, for instance,
1st of January (0101) would be 1, and 31st of December would be 365.
There is no leap year to be considered.
I have the code to change this, if my data was shown as 0601 etc, but not as 601 etc.
copperNew$Date = as.numeric(as.POSIXct(strptime(paste0("2013",copperNew$Date), format="%Y%m%d")) -
as.POSIXct("2012-12-31"), units = "days")
Where Date of course is from the file linked above.
Please ask if you do not consider the description to be good enough.
You can use colClasses in the read.table function, then convert to POSIXlt and extract the year date. You are over complicating the process.
copperNew <- read.table("http://pastebin.com/raw.php?i=0fdswDxF", header=TRUE,
colClasses=c("character", "integer", rep("numeric", 3)))
tmp <- as.POSIXlt( copperNew$Date, format='%m%d' )
copperNew$Yday <- tmp$yday
The as.POSIXct function is able to parse a string without a year (assumes the current year) and computes the day of the year for you.
d<-as.Date("0201", format = "%m%d")
strftime(d, format="%j")
#[1] "032"
First you parse your string and obtain Date object which represents your date (notice that it will add current year, so if you want to count days for some specific year add it to your string: as.Date("1988-0201", format = "%Y-%m%d")).
Function strftime will convert your Date to POSIXlt object and return day of year. If you want the result to be a numeric value, you can do it like this: as.numeric(strftime(d, format = "%j"))(Thanks Gavin Simpson)
Convert it to POSIXlt using a year that is not a leap-year, then access the yday element and add 1 (because yday is 0 on January 1st).
strptime(paste0("2011","0201"),"%Y%m%d")$yday+1
# [1] 32
From start-to-finish:
x <- read.table("http://pastebin.com/raw.php?i=0fdswDxF",
colClasses=c("character",rep("numeric",5)), header=TRUE)
x$Date <- strptime(paste0("2011",x$Date),"%Y%m%d")$yday+1
In which language?
If it's something like C#, Java or Javascript, I'd follow these steps:
1-) parse a pair of integers from that column;
2-) create a datetime variable whose day and month are taken from the integers from step one. Set the year to some fixed value, or to the current year.
3-) create another datetime variable, whose date is the 1st of February of the same year as the one in step 2.
The number of the day is the difference in days between the datetime variables, + 1 day.
This one worked for me:
copperNew <- read.table("http://pastebin.com/raw.php?i=0fdswDxF",
header=TRUE, sep=" ", colClasses=c("character",
"integer",
rep("numeric", 3)))
copperNew$diff = difftime(as.POSIXct(strptime(paste0("2013",dat$Date),
format="%Y%m%d", tz="GMT")),
as.POSIXct("2012-12-31", tz="GMT"), units="days")
I had to specify the timezone (tz argument in as.POSIXct), otherwise I got two different timezones for the vectors I am subtracting and therefore non-integer days.

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