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) } _________________________________________________________________ Inédit ! Des Emoticônes Déjantées! Installez les dans votre Messenger ! [[alternative HTML version deleted]]
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