# 1. You can directly read your data into a zoo series like this:
Lines <- "8190 2009-06-16 49.30
8191 2009-06-17 48.40
8192 2009-06-18 47.72
8193 2009-06-19 48.83
8194 2009-06-22 46.85
8195 2009-06-23 47.11
8196 2009-06-24 46.97
8197 2009-06-25 47.43"
library(zoo)
z <- read.zoo(textConnection(Lines), index = 2)
# and from that you can readily convert it to
# other time series formats if need be.
# 2. Read ?table.Drawdowns. It asks for __returns__, not raw
# data as input.
library(PerformanceAnalytics)
table.Drawdowns(diff(log(z$V3)))
That gives me an error and looking into it it seems
likely that table.Drawdowns fails when there is only one
drawdown.
library(help = PerformanceAnalytics)
will give you the author's email address to whom you
can report the problem.
On Fri, Jul 3, 2009 at 7:34 PM, Ted Byers<r.ted.by...@gmail.com> wrote:
> Hi Mark
>
> Thanks for replying.
>
> Here is a short snippet that reproduces the problem:
>
> library(PerformanceAnalytics)
> thedata = read.csv("K:\\Work\\SignalTest\\BP.csv", sep = "\t", header
> = FALSE, na.strings="")
> thedata
> x = as.timeseries(thedata)
> x
> table.Drawdowns(thedata,top = 10)
> table.Drawdowns(thedata$V2, top = 10)
>
> The object 'thedata' has exactly what I expected. the line 'thedata'
> prints the correct contents of the file with each row prepended by a
> line number. The last few lines are:
>
> 8191 2009-06-17 48.40
> 8192 2009-06-18 47.72
> 8193 2009-06-19 48.83
> 8194 2009-06-22 46.85
> 8195 2009-06-23 47.11
> 8196 2009-06-24 46.97
> 8197 2009-06-25 47.43
>
> The number of lines (8197), dates (and their format) and prices are correct.
>
> The last four lines produce the following output:
>> x = as.timeseries(thedata)
> Error: could not find function "as.timeseries"
>> x
> Error: object 'x' not found
>> table.Drawdowns(thedata,top = 10)
> Error in 1 + na.omit(x) : non-numeric argument to binary operator
>> table.Drawdowns(thedata$V2, top = 10)
> Error in if (thisSign == priorSign) { :
> missing value where TRUE/FALSE needed
>>
>
> Are the functions in your example in Rmetrics or PerformanceAnalytics?
> (like I said, I am just beginning this exploration, and I started with
> table.Drawdowns because it produces information that I need first)
> And given that my data is in tab delimited files, and can be read
> using read.csv, how do I feed my data into your four statements?
>
> My guess is I am missing something in coercing my data in (the data
> frame?) thedata into a timeseries array of the sort the time series
> analysis functions need: and one of the things I find a bit confusing
> is that some of the documentation for this mentions S3 classes and
> some mentions S4 classes (I don't know if that means I have to make
> multiple copies of my data to get the output I need). I could coerce
> thedata$V2 into a numeric vector, but I'd rather not separate the
> prices from their dates unless that is necessary (how would one
> produce monthly, annual or annualized rates of return if one did
> that?).
>
> Thanks
>
> Ted
>
> On Fri, Jul 3, 2009 at 6:39 PM, Mark Knecht<markkne...@gmail.com> wrote:
>> On Fri, Jul 3, 2009 at 2:48 PM, Ted Byers<r.ted.by...@gmail.com> wrote:
>>> I have hundreds of megabytes of price data time series, and perl
>>> scripts that extract it to tab delimited files (I have C++ programs
>>> that must analyse this data too, so I get Perl to extract it rather
>>> than have multiple connections to the DB).
>>>
>>> I can read the data into an R object without any problems.
>>>
>>> thedata = read.csv("K:\\Work\\SignalTest\\BP.csv", sep = "\t", header
>>> = FALSE, na.strings="")
>>> thedata
>>>
>>> The above statements give me precisely what I expect. The last few
>>> lines of output are:
>>> 8190 2009-06-16 49.30
>>> 8191 2009-06-17 48.40
>>> 8192 2009-06-18 47.72
>>> 8193 2009-06-19 48.83
>>> 8194 2009-06-22 46.85
>>> 8195 2009-06-23 47.11
>>> 8196 2009-06-24 46.97
>>> 8197 2009-06-25 47.43
>>>
>>> I have loaded Rmetrics and PerformanceAnalytics, among other packages.
>>> I tried as.timeseries, but R2.9.1 tells me there is no such function.
>>> I tried as.ts(thedata), but that only replaces the date field by the
>>> row label in 'thedata'.
>>>
>>> If I apply the performance analytics drawdowns function to either
>>> thedata or thedate$V2, I get errors:
>>>> table.Drawdowns(thedata,top = 10)
>>> Error in 1 + na.omit(x) : non-numeric argument to binary operator
>>>> table.Drawdowns(thedata$V2, top = 10)
>>> Error in if (thisSign == priorSign) { :
>>> missing value where TRUE/FALSE needed
>>>>
>>>
>>> thedata$V2 by itself does give me the price data from the file.
>>>
>>> I am a relative novice in using R for timeseries, so I wouldn't be
>>> surprised it I missed something that would be obvious to someone more
>>> practiced in using R, but I don't see what that could be from the
>>> documentation of the functions I am looking at using. I have no
>>> shortage of data, and I don't want to write C++ code, or perl code, to
>>> do all the kinds of calculations provided in, Rmetrics and
>>> performanceanalytics, but getting my data into the functions these
>>> packages provide is killing me!
>>>
>>> What did I miss?
>>>
>>> Thanks
>>>
>>> Ted
>>>
>>> ______________________________________________
>>> R-help@r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>
>> Could you supply some portion of the results when you run the example
>> on your data? The example goes like:
>>
>> data(edhec)
>> R=edhec[,"Funds.of.Funds"]
>> findDrawdowns(R)
>> sortDrawdowns(findDrawdowns(R))
>>
>> How are you using the function with your data?
>>
>> - Mark
>>
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
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