[R-SIG-Finance] apply a function to a data.frame column with condition

[Brian G. Peterson]

Arnaud,

You may want to look at 'PerformanceAnalytics' for a large number of
performance and risk functions for financial time series, including a
large number of standard tables and charts.

I can also recommend Bernhard Pfaff's excellent book 'Financial Risk
Modeling and Portfolio Optimization with R, 2nd ed.'

Regards,

Brian

-- 
Brian G. Peterson
ph: +1.773.459.4973
im: bgpbraverock

On Fri, 2025-03-07 at 11:31 +0100, Enrico Schumann wrote:
> On Thu, 06 Mar 2025, Arnaud Gaboury writes:
> 
> > On Thu, 2025-03-06 at 07:29 +0100, Enrico Schumann wrote:
> > > On Wed, 05 Mar 2025, Arnaud Gaboury writes:
> > > 
> > > > I work with Binancer [1] and PMwR [2] packages to write a
> > > > trading
> > > > journal.
> > > > Here is a sample of my data frame:
> > > > portfolio <- data.frame(
> > > >   symbol = c("BTCUSDT", "BTCUSDT", "ETHUBTC", "AAVEBTC",
> > > > "ENAUSDT"),
> > > >   time = c("2024-12-17 10:01:30", "2024-12-18 21:32:53", "2025-
> > > > 01-
> > > > 02
> > > > 10:34:49", "2025-01-02 11:14:43", "2025-01-02 11:15:22")
> > > > )
> > > > 
> > > > I want to fetch the 'BTCUSDT' price for a specific time if the
> > > > symbol
> > > > of same row end with these 3 letters : 'BTC'. In my sample, it
> > > > will
> > > > be
> > > > rows 3 and 4.
> > > > Here is how I find BTCUSDT price for date 2025-01-02 10:34:49:
> > > > 
> > > > get_btc_price <- function(time) {
> > > >   klines <- binance_klines('BTCUSDT', start_time = '2025-01-02
> > > > 10:34:49', end_time = '2025-01-02 10:34:49')
> > > > }
> > > > 
> > > > I was thinking of this code to write my new column
> > > > BTCUSDT_price:
> > > > 
> > > > df <- portfolio %>%
> > > >   mutate(
> > > >     BTCUSDT_price = ifelse(str_detect(symbol, "BTC$"),
> > > > map_dbl(time,
> > > > get_btc_price), NA_real_)
> > > >   )}
> > > > 
> > > > But the code returns:
> > > > Error in `mutate()`:
> > > > ℹ In argument: `BTCUSDT_price = ifelse(...)`.
> > > > Caused by error in `map_dbl()`:
> > > > ℹ In index: 1.
> > > > Caused by error in `[.data.table`:
> > > > ! Item 1 of j is 12 which is outside the column number range
> > > > [1,ncol=0]
> > > > 
> > > > I have tried other workarounds but all give me errors.
> > > > 
> > > > Thank you for help
> > > > 
> > > > 
> > > > [1]https://cran.r-project.org/web/packages/binancer
> > > > [2]https://cran.r-project.org/web/packages/PMwR
> > > > 
> > > 
> > > You want to compute a new column for your data.frame as
> > > a function of two existing columns.
> > > 
> > > In base R, if you don't want to use a loop (and there
> > > would be nothing wrong with a loop), you could use
> > > 'mapply'; and then cbind the column to your data.frame:
> > > 
> > >     new.column <- mapply(
> > >         function(symbol, time) {
> > >             if (grepl("BTC$", symbol)) {
> > >                 ## your get_price computation, using
> > >                 ## 'symbol' and 'time'
> > >                 paste("do something with", symbol, time)
> > >                 
> > >             } else
> > >                 NA
> > >         },
> > >         portfolio$symbol,
> > >         portfolio$time
> > >     )
> > > 
> > >     ## new.column
> > >     ##                                         BTCUSDT 
> > >     ##                                              NA 
> > >     ##                                         BTCUSDT 
> > >     ##                                              NA 
> > >     ##                                         ETHUBTC 
> > >     ## "do something with ETHUBTC 2025-01-02 10:34:49" 
> > >     ##                                         AAVEBTC 
> > >     ## "do something with AAVEBTC 2025-01-02 11:14:43" 
> > >     ##                                         ENAUSDT 
> > >     ##                                              NA 
> > 
> > Thank you for your answer.
> > A very warm thanks for your PMwR package. It helps me managing my
> > portfolio in a professional way. Unfortunately there isn't so much
> > material to manage, follow, compute ratio etc. 
> > By any chance, do you have any cool build-in functions to cook
> > monthly
> > data (PL, valuation etc) as we compute every month always the same
> > data
> > ?
> 
> Thank you.
> 
> I am afraid there are no built-in, ready-to-use reports in
> PMwR.  That was a deliberate choice: PMwR should only
> provide simple tools for computing P/L, returns, or for
> backtesting, say. For analyzing the results of such
> computations, you have all of R for analysis and summarizing
> :-)
> 
> For my reporting needs, I typically prepare templates in
> plain text, HTML or LaTeX and then fill in stats such as
> returns etc. See e.g.
> https://cran.r-project.org/web/packages/PMwR/vignettes/FinTeX.pdf
> 
> For equity series, i.e. total value of a portfolio, using
> NAVseries and its summary method might be a start, see e.g.
> https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#NAVseries-summaries
> There are handful of functions for analyzing such series,
> e. g. `drawdowns` or `streaks`.  But as I said, most
> analysis I do with basic R functions.
> 
> 

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