[R-SIG-Finance] [R-sig-finance] n-period return

[Joshua Ulrich]

This is because xts aligns the series before operations.
(Delta[i]>Delta[i-1]) returns an empty xts object because Delta[i] and
Delta[i-1] don't share any common index values.

Something like this will work:
> lDelta <- lag(Delta)
> for (i in 3:length(Delta)) {
+  if (Delta[i]>lDelta[i]) sum <- sum + Delta
+ }

Though you're going to have the same problem when you try to add "sum"
and "Delta" if they're both xts objects.

HTH,
Josh
--
http://www.fosstrading.com



On Mon, Aug 3, 2009 at 10:55 AM,
ehxpieterse<eduard.pieterse at macquarie.com> wrote:
>
> Thanks Jeff,
>
> I'm not too clear on how to use the GetSeries data type, after using diff().
>
> getSymbols("^GSPC", src="yahoo")
> CloseData <- Cl(GSPC)
> Delta <- diff(CloseData, lag=1)
> for (i in 3:length(Delta)) {
>  if (Delta[i]>Delta[i-1]) sum <- sum + Delta
> }
>
> It seems if the variables have no length? Is this something specific to the
> way getSymbols create objects?
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