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

[Brian G. Peterson]

On 03/03/2015 12:55 PM, Alex Badoi wrote:
> 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.

use try() in your MOM function, and return either an answer or an empty 
result.

> 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.

These aren't vectors, they're xts objects.

for a given xts object x

any(is.na(x))

will return TRUE or FALSE

So you could loop through the list something like this:

for (symbol in ls(pos=stockData)){
   if(any(is.na(stockData[[symbol]])) rm(symbol,pos=stockData)
}

but it seems that try() and making your MOM function more robust is 
likely to be a better answer.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock