XTS: split FX intraday bar data by trading days
I want to apply a function to 20 trading days worth of hourly FX data (as one example amongst many).I started off with rollapply(data,width=20*24,FUN=FUN,by=24). That seemed to be working well, I could...
View ArticleHow to create a variable based on a given growth rate using xts?
I want to create a variable based on a given growth rate, which is in another variable, starting from a base of 1. Below is an example. I tried two methods, either applying growth rate to lagged value...
View Articlevectorization in xts is there a simple solution
set.seed(2)library(xts)x <- sample(1:5,10,replace = T)x.xts <- xts(x, order.by = seq(as.POSIXct(Sys.time()), length = 10, by = "min"))I have xts object x.xts and i want apply to him vectorized...
View ArticleOpenSSL3.1 C example of AES-XTS using EVP interfaces Unable to segment data...
For AES-XTS encryption, I want to perform segmented input calculations on the data, but it has a problem.#include <openssl/evp.h>#include <openssl/rand.h>#include <stdio.h>#include...
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How to transform/simplify a data.frame with timeseries in columns to an...
How do I go from image #1 to #2 in R ?I would expect this transformation to be so common in timeseries analysis that xts::, zoo:: or data.table:: would have a pre-built routine to make the series...
View ArticleAuto.arima from forecas-Different results for Zoo object and.xts object?
I have time series of Covid-19 death cases which is only weekdays without weekend. I created it in R as .zoo object. But since some packages work better with time series I created it as .xts object as...
View ArticleFiltering a xts object from one year to the next
If I have a 10-year daily xts time series, starting on 1985-01-01 and ending on 1994-12-31, how can I calculate the sum of values for the interval starting on Nov 1 and ending on Mar 31 of the next...
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Add a subtitle to plot.xts
Is there a way to add a subtitle like in base plot to plot.xts?plot(xts(rnorm(100), order.by = as.Date(1:100)), sub = "Subtitle")plot(rnorm(100), sub = "Subtitle", type = "l")
View Articlewhy don't the names change to those that were specified in the date frame?
I wrote a simple function that combines all indicators from the TTR package, but not all indicators have names that have changed as I specified in the dataframe.for example, TTR::chaikinVolatility...
View Articlehow to build multiple sliding windows from xts object using rollapply function
I have a matrix with two columns where each column is a variable. I'm building two sliding windows of size 3data <- matrix(1:20,ncol = 2, dimnames = list(NULL, c("var1","var2")))> data var1 var2...
View Articlelist of xts objects back to list after merge
I have a list of xts objectsset.seed(1)library(xts)tm <- Sys.time()+1:10f <- function(){ m <- matrix(1:40,ncol = 4, dimnames = list(NULL, paste0("x",1:4))) xts(m ,tm)[-sample(10,sample(9,1))]}...
View Articleprinting an xts object
I am trying to create an xts object of this S&P500 sample. This is the code I am using:sp500 <- read.csv2("SP500.csv", stringsAsFactors = F, header = T, sep = ",", na.strings = ".")sp500$DATE...
View ArticlePlot multiple series on a dygraph
I'm trying to plot multiple series on a dygraph line chart.The df is of this structure:structure(list(Date = structure(c(4216, 4216, 4217, 4217, 4218, 4218, 4219, 4219, 4220, 4220, 4221, 4221, 4222,...
View ArticleAggregate xts coredata in case of duplicate indices
Assuming I have the following xts object with duplicated time information:library(xts)x <- xts(1:5, c("2024-04-19", "2024-04-19", "2024-04-20", "2024-04-21", "2024-04-21") |> as.Date())x#>...
View ArticleHow Do You Execute If-Then Logic On All The Columns Of An xts object in R
I have an xts object with multiple columns in R and I want to convert all the numbers larger than, say, 0.05 to NA (or -99 or something like that).To get some data to execute on please do the...
View Articledecomposition hourly timeseries
I have the following time series data example: structure(list(cycle_rounded = structure(c(1604534400, 1604538000, 1604541600, 1604545200, 1604548800, 1604552400, 1604556000, 1604559600, 1604563200,...
View Articleas.Date in R completely changes the years
I have a time-series dataset in csv format. The monthly data is from 4/1/1953 to 6/1/2017. I want to convert this into an xts object in R. I used the following codes to import the dataset and then...
View ArticleHow to handle 'Series contains non-leading NAs' in TTR library with xts objects?
I often run into the same issue of how to handle NA values when modelling quantitative trading models. The example below is about a stock with EOD data since 1997-01-01 stored in a xts object with four...
View ArticleDelimit precipitation events from xts objects using `split.zoo`
I'd like to split an xts object of precipitation depths into chunks in order to be able to delimit individual events for subsequent analysis from a continuous record of observations.Let's assume I'm...
View ArticleWrite ZOO (XTS) object into CSV file by separating index column into two columns
I have 2-column (index and value) ZOO object, where index contains date and time values:2010-02-18 13:11:00 48.090 2010-02-18 13:12:00 48.110 2010-02-18 13:13:00 48.100I want to save this ZOO object...
View Articlejunit.framework.AssertionFailedError: Test is stuck, see ANR stack trace for...
I'm running Test cases but facing the below error.junit.framework.AssertionFailedError: Test is stuck, see ANR stacktrace for more info. You may need to create /data/anr firstThe error occurred in the...
View ArticleControl the minimal number of required values when aggregating xts objects
When working with e.g. daily air temperature data, I'd like to have better control of how many observations are allowed to be missing in order to not calculate the monthly average (or whatever...
View Articlemultiple columns in a sliding window, runner package, xts format
I'm trying to do something similar to w1, which contains colums in a sliding window of size kset.seed(1)library(xts)tm <- Sys.time()+1:5000x <- rnorm(5000) |> cumsum() |> round(1) |>...
View ArticleDygraph multiple plots - turn them on and off with R and dySeries options
Good afternoon everyone,I am discovering dyGraph for R and it is an amazing tool.I need to plot only two variables ("Lifetime.Engaged.Users"& "Lifetime.Post.Total.Reach") of my 32 variables xts...
View Articlehow sort in reverse order xts object
I'm trying to do a regular reverse sort, but I don't understand how to do it with an xts object. I want the last date to be in the first line and not the last.I tried several ways but it doesn't...
View ArticleIs indexAt="lastof" no longer valid for xts::to.weekly?
simple reproducible example:set.seed(1234)len <- 1000fake <- zoo::zoo(rnorm(len, mean = 0.001, sd = 0.0005), order.by = seq.Date(from = as.Date("2000-01-01", tz = "UTC"), length.out = len, by =...
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Forecasting time series data
I've done some research and I am stuck in finding the solution. I have a time series data, very basic data frame, let's call it x:Date Used11/1/2011 58711/2/2011 57811/3/2011 60011/4/2011 59911/5/2011...
View ArticleObtaining last Friday's date
I can get today's date:Sys.Date( )But how do I get last Friday's date?I tried:library(xts)date1 <- Sys.Date( ) to.weekly(date1 )But this gives an error.
View ArticleGet the specific index of occurence when working with period.apply
Assuming I worked with meteorological observations and wanted to know not only the daily maximum value but also the relevant timestamp, describing when this value was observed, is it possible to...
View ArticlePlotting an xts object using ggplot2
I'm wanting to plot an xts object using ggplot2 but getting an error. Here is what I'm doing: dates <- c("2014-10-01", "2014-11-01", "2014-12-01", "2015-01-01", "2015-02-01")value <-...
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