[R-SIG-Finance] [Q] How to omit NA values in TTR package + Jeff Cooper's 5 day MOM

[Ilya Kipnis]

Read my quantstrat posts.
On Mar 3, 2015 1:56 PM, "Alex Badoi" <alex.badoi1 at gmail.com> wrote:

> Hi everyone,
>
> I am working on a trading system based on Jeff Cooper's 5 day Momentum.
>
>
> http://www.maxdown.org/e-books-list/the-5-day-momentum-method-by-jeff-cooper_4fa8l.html
>
> I am new to R and still familiarising myself with a lot of the functions
> but i am slowly piecing it together. The code bellow contains all the
> calculations necessary for the above strategy.
>
> I have the following problems:
>
> 1. NA Values are making my code useless as it stops half way through. I
> need to run this on a few hundred stocks. It works perfectly with no NA
> values. I tried to use na.omit and na.rm=T.
>
> Alternatively i am looking for a way through which i could search through
> my stockData environment for vectors containing NA values and remove these
> vectors entirely before running it through the following code.
>
> Error:
>
> Error in runSum(x, n) : NA/NaN/Inf in foreign function call (arg 1)
> 7 runSum(x, n)
> 6 runMean(x, n)
> 5 SMA(structure(c(NA, NA, NA, NA, NA, NA, NA, 29.75, 34.6666666666667,
> 22.75, 22.75, 26.25, 52.5, 45.5, 52.5, 45.5, 52.5, 52.5, 52.5,
> 59.5, 59.5, 59.5, 35, 35, 35, 35, 59, 59, 59, 59, 59, 66, 59,
> 66, 117, 117, 117, 117, 131, 117, 131, 131, 72.5, 43.25, 39.75,  ...
> 4 do.call(maType, c(list(fastK), list(n = nFastD, ...)))
> 3 stoch(try.xts(x[, c(2, 3, 6)], error = as.matrix), nFastK = 8,
>     na.action = na.exclude)
> 2 FUN(X[[9L]], ...)
> 1 lapply(stockData, MOM)
>
>
>
> Code:
>
> stockData <- new.env()
> getSymbols(ticker_names , env = stockData, src="yahoo")
>
> "MOM" <- function(x){
>
> # Price Adj.
> price <- x[,c(6)]
>
> # DIp      DIn       DX      ADX
> adx <- ADX(try.xts(x[,c(2,3,6)], error=as.matrix), n =14)
>     DIp <- adx$DIp
>     DIn <- adx$DIn
>     Adx <- adx$ADX
> # dn     mavg       up      pctB
> bbands <- BBands(try.xts(x[,c(2,3,6)], error=as.matrix), n =14, sd=1.8)
>     down <- bbands$dn
>     up <- bbands$up
>
> sma <- SMA(try.xts(x[,c(6)], error=as.matrix), n = 20)
>
> # rsi
> rsi <- RSI(try.xts(x[,c(6)], error=as.matrix), n = 14)
>
> # fastK     fastD     slowD
> stochastics <- stoch(try.xts(x[,c(2,3,6)], error=as.matrix), nFastK = 8)
>     fastK <- stochastics$fastK
>
> # results
> result <- cbind( price, DIp, DIn, Adx, down, up, sma, rsi, fastK )
> lastresult <- do.call("rbind", list(last(result)))
> write.table(lastresult, file = "MOM.csv", append = T, col.names = F, sep=
> ",")
> print(last(result))
> }
>
> # Loop function on data #
> lapply (stockData, MOM)
>
> I spend the last few hours searching for a solution but with little
> success. Thank you in advance if you can help.
>
> Alex
>
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>
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