[R] The time series analysis functions/packages don't seem to like my data

[Ted Byers]

Hi David,

Thanks for replying.

On Fri, Jul 3, 2009 at 8:08 PM, David Winsemius<dwinsemius at comcast.net> wrote:
>
> On Jul 3, 2009, at 7:34 PM, Ted Byers 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"
>
> That is not telling you that there is no such function but rather that you
> have not loaded the package that contains it. To find out what package (
> which you have installed on your machine) contains a function, you type one
> of these equivalents:
>
> ??"as.timeseries"
>
> help.search("as.timeseries")
>
I did  this, which is why I tried as.timeseries in the first place.

> If the needed package is not installed on your machine then you need to use
> one of the R search sites. I use:
> http://search.r-project.org/nmz.html
>
> In my installation there is a function named as.timeSeries in the package
> timeSeries. Not sure if that is the function you want. (Spelling must be
> exact in R.) If it is, then try:
>
> library(timeSeries)
>
timeSeries was already installed.  And using library(timeSeries)
succeeds but does not help.

>>> x
>>
>> Error: object 'x' not found
>
> Not surprising, since the effort to create "x" failed.
>
Right,.  I wasn't surprised by this.
>
>>> table.Drawdowns(thedata,top = 10)
>>
>> Error in 1 + na.omit(x) : non-numeric argument to binary operator
>
> Not sure whether this is due to earlier errors or something that is wrong
> with your data. Most probably the latter, and since you have not reduced it
> to a reproducible example, no one can tell from a distance. If you were
> expecting the operation of giving "thedata" to as.timeseries() to have a
> lasting effect on "thedata", you need to re-read the introductory material
> on R that is readily available. That's not how the language works.
>
This only thing missing from my example is the data file itself.  I
have no problems providing that too, but I didn't think that was
permitted (and it is too large to embed within a message.

No, I did not expect "thedata" to be modified by as.timeseries.  I
just thought I'd try to see if table.Drawdowns would accept a data
frame.  And my call to " table.Drawdowns(thedata$V2, top = 10)" was to
see if it would even accept a numeric vector (which is what I'd
expected the price data to be represented as).

Thanks

Ted

>>> 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<markknecht at gmail.com> wrote:
>>>
>>> On Fri, Jul 3, 2009 at 2:48 PM, Ted Byers<r.ted.byers at 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 at 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 at 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.
>
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
>
>