Simplify ave() or aggregate() with several inputs - r

Question

How can I write this all in one line?
mydata is a "zoo" series, limit is a numeric vector of the same size
tmp <- ave(coredata(mydata), as.Date(index(mydata)),
FUN = function(x) cummax(x)-x)
tmp <- (tmp < limit)
final <- ave(tmp, as.Date(index(mydata)),
FUN = function(x) cumprod(x))
I've tried to use two vectors as argument to ave(...) but it seems to accept just one even if I join them into a matrix.
This is just an example, but any other function could be use.
Here I need to compare the value of cummax(mydata)-mydata with a numeric vector and
once it surpasses it I'll keep zeros till the end of the day. The cummax is calculated from the beginning of each day.
If limit were a single number instead of a vector (with different possible numbers) I could write it:
ave(coredata(mydata), as.Date(index(mydata)),
FUN = function(x) cumprod((cummax(x) - x) < limit))
But I can't introduce there a vector longer than x (it should have the same length than each day) and I don't know how to introduce it as another argument in ave().

Answer 1

Seems like this routine imposes intraday stoploss based on maxdrawdown. So I assume you want to be able to pass in variable limit as a second argument to your aggregation function which only currently only takes 1 function due to the way ave works.
If putting all this in one line is not an absolute must, I can share a function I've written that generalizes aggregation via "cut variables". Here's the code:
mtapplylist2 <- function(t, IDX, DEF, MoreArgs=NULL, ...)
{
if(mode(DEF) != "list")
{
cat("Definition must be list type\n");
return(NULL);
}
a <- c();
colnames <- names(DEF);
for ( i in 1:length(DEF) )
{
def <- DEF[[i]];
func <- def[1];
if(mode(func) == "character") { func <- get(func); }
cols <- def[-1];
# build the argument to be called
arglist <- list();
arglist[[1]] <- func;
for( j in 1:length(cols) )
{
col <- cols[j];
grp <- split(t[,col], IDX);
arglist[[1+j]] <- grp;
}
arglist[["MoreArgs"]] <- MoreArgs;
v <- do.call("mapply", arglist);
# print(class(v)); print(v);
if(class(v) == "matrix")
{
a <- cbind(a, as.vector(v));
} else {
a <- cbind(a, v);
}
}
colnames(a) <- colnames;
return(a);
}
And you can use it like this:
# assuming you have the data in the data.frame
df <- data.frame(date=rep(1:10,10), ret=rnorm(100), limit=rep(c(0.25,0.50),50))
dfunc <- function(x, ...) { return(cummax(x)-x ) }
pfunc <- function(x,y, ...) { return((cummax(x)-x) < y) }
# assumes you have the function declared in the same namespace
def <- list(
"drawdown" = c("dfunc", "ret"),
"hasdrawdown" = c("pfunc", "ret", "limit")
);
# from R console
> def <- list("drawdown" = c("dfunc", "ret"),"happened" = c("pfunc","ret","limit"))
> dim( mtapplylist2(df, df$date, def) )
[1] 100 2
Notice that the "def" variable is a list containing the following items:
computed column name
vector arg function name as a string
name of the variable in the input data.frame that are inputs into the function
If you look at the guts of "mtapplylist2" function, the key components would be "split" and "mapply". These functions are sufficiently fast (I think split is implemented in C).
This works with functions requiring multiple arguments, and also for functions returning vector of the same size or aggregated value.
Try it out and let me know if this solves your problem.