[R-SIG-Finance] column transposition with xts

[Jeff Ryan]

This probably won't be much better, but it is cleaner code:

*note: Lag is in quantmod*

> tail(Lag(Cl(x),1:20))
              Lag.1    Lag.2    Lag.3    Lag.4    Lag.5    Lag.6    Lag.7
2007-02-15 51.04699 50.90106 50.96653 50.91160 50.69562 50.67686 50.81383
2007-02-16 51.05185 51.04699 50.90106 50.96653 50.91160 50.69562 50.67686
2007-02-17 51.02164 51.05185 51.04699 50.90106 50.96653 50.91160 50.69562
2007-02-18 51.13653 51.02164 51.05185 51.04699 50.90106 50.96653 50.91160
2007-02-19 51.15151 51.13653 51.02164 51.05185 51.04699 50.90106 50.96653
2007-02-20 51.17899 51.15151 51.13653 51.02164 51.05185 51.04699 50.90106
              Lag.8    Lag.9   Lag.10   Lag.11   Lag.12   Lag.13   Lag.14
2007-02-15 50.60611 50.49865 50.69783 50.55509 50.43109 50.36928 50.35784
2007-02-16 50.81383 50.60611 50.49865 50.69783 50.55509 50.43109 50.36928
2007-02-17 50.67686 50.81383 50.60611 50.49865 50.69783 50.55509 50.43109
2007-02-18 50.69562 50.67686 50.81383 50.60611 50.49865 50.69783 50.55509
2007-02-19 50.91160 50.69562 50.67686 50.81383 50.60611 50.49865 50.69783
2007-02-20 50.96653 50.91160 50.69562 50.67686 50.81383 50.60611 50.49865
             Lag.15   Lag.16   Lag.17   Lag.18   Lag.19   Lag.20
2007-02-15 50.22578 50.02180 49.91875 49.88096 50.01091 50.07024
2007-02-16 50.35784 50.22578 50.02180 49.91875 49.88096 50.01091
2007-02-17 50.36928 50.35784 50.22578 50.02180 49.91875 49.88096
2007-02-18 50.43109 50.36928 50.35784 50.22578 50.02180 49.91875
2007-02-19 50.55509 50.43109 50.36928 50.35784 50.22578 50.02180
2007-02-20 50.69783 50.55509 50.43109 50.36928 50.35784 50.22578

HTH
Jeff

On Wed, Sep 16, 2009 at 5:56 AM, Aleks Clark <aleks.clark at gmail.com> wrote:
> Josh,
>
> was hoping to avoid a for loop, but I guess this is as good as it gets
> :) luckily I should only have to run this once.
>
> thanks,
>
> Aleks
>
> On Mon, Sep 14, 2009 at 9:52 PM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
>>
>> Aleks,
>>
>> This isn't the most elegant solution, especially with large data sets,
>> but it is *a* solution.  The code below yields a 24-column xts object
>> (20 lags of close prices, plus the original OHLC series).
>>
>> library(xts)
>> library(quantmod)
>>
>> data(sample_matrix)
>> x <- as.xts(sample_matrix[1:50,])
>>
>> res <- x
>> for(i in 1:20) { res <- cbind(res,lag(Cl(x),i)) }
>>
>> HTH,
>> Josh
>> --
>> http://www.fosstrading.com
>>
>>
>>
>> On Mon, Sep 14, 2009 at 5:53 AM, Aleks Clark <aleks.clark at gmail.com> wrote:
>> > I'm working with SVMs and have recently migrated to using TTR and thus xts,
>> > but I've run into the following problem:
>> >
>> > For each vector in an SVMs training set, I need to have a given amount of
>> > historical data available as features for the vector. A simple example would
>> > be to have the past 20 close prices. So I'd take a matrix like this:
>> >    O H L C
>> > 1
>> > 2
>> > 3
>> > 4
>> > 5
>> > ...
>> > N
>> >
>> > and output something like this to give to my SVM:
>> >
>> > O, H, L, C, C-1, C-2, C-3, etc
>> > 1
>> > 2
>> > 3
>> > 4
>> > 5
>> >
>> > obviously at the top of the matrix, the historical Close cells would be
>> > empty until there was enough data. In the pre-xts days, I accomplished this
>> > using sapply() and t(), a probably hackish solution, but all I was able to
>> > come up with. However, I am now running into problems with indices using
>> > this technique, and was wondering if there was a better way to perform this
>> > transformation, which really only amounts to a simple copy of data. Possible
>> > solutions that occur to me include some sort of "index shift" and then a
>> > merge, but I've been unable to get anything to work.
>> >
>> >
>> > --
>> > Aleks Clark
>> >
>> >        [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
>> > R-SIG-Finance at stat.math.ethz.ch mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only.
>> > -- If you want to post, subscribe first.
>> >
>
>
>
> --
> Aleks Clark
>
> _______________________________________________
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com