Hello Jeff, Try this:
test <- data.frame(totret=rnorm(10^7)) #create some sample data test[-1,"dailyreturn"] <- test[-1,"totret"]/test[-nrow(test),"totret"] The general idea is to take the column "totret" excluding the first 1, dividided by "totret" exluding the last row. This gives in effect t+1 (since t is now shorter)/t I assigned the result to a new column "dailyreturn". For 10^7 rows, it tooks 1.92 seconds on my system. HTH, Josh On Thu, Jun 3, 2010 at 8:04 PM, Jeff08 <jefferyd...@gmail.com> wrote: > > Hello Everyone, > > I just started a new job & it requires heavy use of R to analyze datasets. > > I have a data.table that looks like this. It is sorted by ID & Date, there > are about 150 different IDs & the dataset spans 3 million rows. The main > columns of concern are ID, date, and totret. What I need to do is to derive > daily returns for each ID from totret, which is simply totret at time t+1 > divided by totret at time t. > > X id ticker date_ adjClose totret RankStk > 427225 427225 00174410 AHS 2001-11-13 21.66 100.00000 1235 > 441910 441910 00174410 AHS 2001-11-14 21.60 99.72300 1235 > 458458 458458 00174410 AHS 2001-11-15 21.65 99.95380 1235 > 284003 284003 00174410 AHS 2001-11-16 21.59 99.67680 1235 > > Two problems for me: > > 1)I can't just apply it to the entire column since there will be problems at > the boundary points where the ID changes from 1 to another. I need to find > out how to specify a restriction on the name of the ID > > 2) From Java, instinctively I would use a loop to calculate daily returns, > but I found out that R is very slow with loops, so I need to find an > efficient way to calculate daily returns with such a huge dataset. > > Thanks a lot! > > > -- > View this message in context: > http://r.789695.n4.nabble.com/R-Newbie-please-help-tp2242633p2242633.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > 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. > -- Joshua Wiley Senior in Psychology University of California, Riverside http://www.joshuawiley.com/ ______________________________________________ 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.
