[R] Newbie code to count runs of up or down moves

[Jeff Newmiller]

Debugging nested loops is something we try to avoid in R, because there are usually more efficient ways to accomplish things.

Does this do what you want?

hist(rle(diff(z)<0)$lengths)
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Sent from my phone. Please excuse my brevity.

Newbie1234 <larry at riskengineer.com> wrote:

>I hope this text does not come out unreadable as before.  It is
>readable in R
>Studio..  What I am trying to do is take a time-series of prices and
>create
>a histogram of the run lengths, where a run is a sequence of all up
>moves or
>all down moves.  
>
>Arun of length k is sequence of k moves all in the same direction
>followed
>by a move in the opposite direction.
>To do this I first difference the time series.  
>
>Two first differences of the same sign followed by a first difference
>of
>opposite sign is a run length 2. 
>
>The outer loop is on the run length denoted by k. The middle loop is
>over
>the date the run starts denoted by i.  The inner most loop is on dates
>from
>date i  +1 through date i + k. indexed by j.
>
>At each j , I test to see if the price change at date j has the same
>sign as
>that on date j-1.  If after testing that the run has a length of at
>least k
>and that is not more than k to determine if starting on date i there
>was a
>run that was exactly of length k, then I increment y[k].
>
>********************************
>
>The code follows, then after the next ********, is the output with
>error
>messages.
>
>z<-c(3,1,4,5,2,1,0,3,5,8)
>z
>length(z)
>y<-c(0,0,0,0,0,0,0,0,0,0)
>y
>length(y)
>zdiff = diff(z)
>zdiff
>n<-length(zdiff)
>n
>x<-zdiff
>
>f<-function(x,y) 
>        {
>            for (k in 1:n){
>                for (i in 1:n-k){
>                  endOfRun<-FALSE
>                  anotherRunStep<-TRUE
>                  if(i == (n-k)) endofrun<-TRUE
>                  else if(x[i+k+1]*x[i+k] > 0) endOfRun<-FALSE
>                  for(j in i+1:i+k){
>                    if ((x[j] * x[j-1] < 0){
>                      anotherRunStep<-FALSE
>                      break
>                    } # endif
>                    
>                  } # endforj
>                  if (endOfRun && anotherRunStep) y[k]<-y[k]+1   
>            } # endfori
>         } #e endfork
>        return(y)
>}
>f(x,y)
>
>************************
>
>[1] 3 1 4 5 2 1 0 3 5 8
>> length(z)
>[1] 10
>> y<-c(0,0,0,0,0,0,0,0,0,0)
>> y
> [1] 0 0 0 0 0 0 0 0 0 0
>> length(y)
>[1] 10
>> zdiff = diff(z)
>> zdiff
>[1] -2  3  1 -3 -1 -1  3  2  3
>> n<-length(zdiff)
>> n
>[1] 9
>> x<-zdiff
>> 
>> f<-function(x,y) 
>+         {
>+             for (k in 1:n){
>+                 for (i in 1:n-k){
>+                   endOfRun<-FALSE
>+                   anotherRunStep<-TRUE
>+                   if(i == (n-k)) endofrun<-TRUE
>+                   else if(x[i+k+1]*x[i+k] > 0) endOfRun<-FALSE
>+                   for(j in i+1:i+k){
>+                     if ((x[j] * x[j-1] < 0){
>Error: unexpected '{' in:
>"                  for(j in i+1:i+k){
>                    if ((x[j] * x[j-1] < 0){"
>>                       anotherRunStep<-FALSE
>>                       break
>Error: no loop for break/next, jumping to top level
>>                     } # endif
>Error: unexpected '}' in "                    }"
>>                     
>>                   } # endforj
>Error: unexpected '}' in "                  }"
>>                   if (endOfRun && anotherRunStep) y[k]<-y[k]+1   
>Error: object 'endOfRun' not found
>>             } # endfori
>Error: unexpected '}' in "            }"
>>          } #e endfork
>Error: unexpected '}' in "         }"
>>         return(y)
>Error: no function to return from, jumping to top level
>> }
>Error: unexpected '}' in "}"
>> f(x,y)
> [1] 6 5 6 5 5 6 5 6 0 0
>
>
>
>--
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>http://r.789695.n4.nabble.com/Newbie-code-to-count-runs-of-up-or-down-moves-tp4662423p4662459.html
>Sent from the R help mailing list archive at Nabble.com.
>
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