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felix's problem with code
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require(xts) | |
dailyip=readRDS(gzcon(url("https://dl.dropboxusercontent.com/s/kfxg1vi1s6hv6cg/dailyip.rds"))) | |
dailyrx=readRDS(gzcon(url("https://dl.dropboxusercontent.com/s/of47enf79ugkq8c/dailyrx.rds"))) | |
populate = function(x) { | |
if(unique(is.na(x))=='TRUE') return(x) | |
naseries=cbind(x,NA)[,2] | |
where=which(x<(yy))[1] | |
if(!is.na(where)) return(na.locf(cbind(x[1:where],naseries)[,1])) | |
if(is.na(where)) return(x) | |
} | |
populate2 = function(zz) { | |
do.call(cbind, lapply(as.list(zz), populate)) | |
} | |
# variable part | |
yy <- -0.02 | |
long=ifelse(dailyip==1,1,NA) | |
short=ifelse(dailyip==-1,-1,NA) | |
dailyrx2=do.call(rbind, lapply(split(dailyrx, 'months'), cumsum)) | |
long_split <- split(long*dailyrx2, 'months') # check dimensions of the input, mispatched | |
short_split <- split(short*dailyrx2, 'months') | |
# split into month, and then into columns in populate2 | |
stoploss_l <- do.call(rbind, lapply(long_split, populate2)) | |
stoploss_s <- do.call(rbind, lapply(short_split, populate2)) | |
rx4b <- xts(rowMeans(apply.monthly(stoploss_l, last), na.rm=T)+ | |
rowMeans(apply.monthly(stoploss_s, last), na.rm=T), | |
index(apply.monthly(stoploss_l, last))) |
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