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

[Mark Knecht]

On Fri, Jul 3, 2009 at 6:32 PM, Ted Byers<r.ted.byers at gmail.com> wrote:
> On Fri, Jul 3, 2009 at 9:05 PM, Mark Knecht<markknecht at gmail.com> wrote:
>> On Fri, Jul 3, 2009 at 5:54 PM, Ted Byers<r.ted.byers at gmail.com> wrote:
>>> Sorry, I should have read the read.zoo documentation before replying
>>> to thank Gabor for his repsonse.
>>>
>>> Here is how it starts:
>>>
>>> "read.zoo(zoo) R Documentation
>>>
>>> Reading and Writing zoo Series
>>> Description
>>> read.zoo and write.zoo are convenience functions for reading and
>>> writing "zoo" series from/to text files. They are convenience
>>> interfaces to read.table and write.table, respectively.
>>>
>>> Usage
>>> read.zoo(file, format = "", tz = "", FUN = NULL,
>>>  regular = FALSE, index.column = 1, aggregate = FALSE, ...)"
>>>
>>> Clearly this should solve both our problems.
>>>
>>> Cheers,
>>>
>>> Ted
>>>
>>
>> Possibly but I think the big issue is the findDrawdowns function is
>> looking for minus signs to signal the drawdown. I down think it's
>> doing calculations from a simple equity curve.
>>
>> All of these functions (findDrawdowns, table.Drawdowns, etc.) all say
>> they will accept a data.frame.
>>
>> My guess is the issue isn't so much dates, names, or anything else as
>> much as making sure you have a column of percentage rise and fall
>> numbers expressed like
>>
>> 0.03
>> 0.02
>> -0.025
>> 0.10
>>
> But this is trivial.  I have to read the documentation further to see
> if it wants rates of return as a fraction (or percentages), or if
> daily deltas will do.  Either way, it is trivial to get such numbers
> (in my case in the perl script I use to draw the data from my
> database.
>
>> Even findDrawdowns(edhec[,5]) does the right thing. Copying it to R
>> wasn't necessary. edhec has lots of columns. You can pick and one of
>> them and get a table.
>>
> This is good to know as it makes some of the analyses I need to do
> easier.  I can create a single file with a number of series that need
> to be compared WRT drawdowns, VaR, &c.
>
> Cheers,
>
> Ted
>

You don't have to put it in your data/frame if you don't want. you can
jsut create a variable, write the data into it and send it to the
function. The function won't care. (I don't think...) After all, R
wasn't in edhec.