[R] why doesn't ifelse work ?

[David Winsemius]

On Apr 28, 2011, at 10:28 PM, eric wrote:

> equire(quantmod)
> require(PerformanceAnalytics)
> rm(list=ls())
> getSymbols("^GSPC", src="yahoo", from="1990-01-01", to=Sys.Date())
> GSPC <-na.omit(Ad(GSPC))
> ind <- rollapply(GSPC, 200, mean)
> signal <- ifelse(diff(ind, 5) > 0 , 1 , -1)
> signal[is.na(signal)] <- 0

 > table(coredata(diff(ind,5)) >0)

FALSE  TRUE
  1286  3886

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David Winsemius, MD
West Hartford, CT