[英]Replace NA's in R with the current rollapply value
I have a 10 year dataset from Tesla returns (2 day difference percentage)我有一个来自特斯拉回报的 10 年数据集(2 天差异百分比)
tsla <- quantmod::getSymbols("TSLA", from = base::as.Date("2011-01-01"), to = base::as.Date("2022-01-31"), auto.assign = F)
tsla = as_tibble(tsla)
head(tsla)
Also I have a function of interest:我还有一个感兴趣的 function:
alpha = 0.01
garnor = function(x){
require(fGarch)
t = length(x)
fit = garchFit(~garch(1,1),data=x,trace=F,cond.dist="norm")
m = fit@fitted
cv = fit@sigma.t
var = m+cv*qnorm(1-alpha)
return(var[t])
}
Now I want to back test the function back in a tricky way: The look-back period will be the first 252 trading days.And then every month (ie 21 days) I want to assess the risk.Which means that for 21 days the risk will remain the same.But the rollapply function outputs NA.I want to replace the NA with the previous value and then plot the y values (y column) and the back values (back column in one plot).现在我想以一种棘手的方式回溯测试 function:回顾期将是前 252 个交易日。然后每个月(即 21 天)我想评估风险。这意味着 21 天风险将保持不变。但是 rollapply function 输出 NA。我想用以前的值替换 NA,然后 plot y 值(y 列)和后向值(一个图中的后列)。
d = tsla%>%
dplyr::select(TSLA.Adjusted)%>%
dplyr::mutate(Close = TSLA.Adjusted)%>%
dplyr::mutate(y = as.numeric((Close - dplyr::lag(Close, 2)) / Close))%>%
dplyr::select(Close,y)%>%
tidyr::drop_na()%>%
dplyr::mutate(back = zoo::rollapplyr(y,width = 252,FUN = garnor,by = 21,fill=NA))
for example the output looks like this:例如 output 看起来像这样:
252 5.54 -0.0307 0.0927
253 5.42 -0.0354 NA
254 5.38 -0.0297 NA
255 5.45 0.00477 NA
256 5.52 0.0257 NA
257 5.65 0.0347 NA
258 5.65 0.0223 NA
259 4.56 -0.239 NA
260 5.32 -0.0620 NA
261 5.36 0.150 NA
262 5.35 0.00598 NA
263 5.32 -0.00789 NA
264 5.35 0.000374 NA
265 5.48 0.0299 NA
266 5.59 0.0429 NA
267 5.79 0.0525 NA
268 5.87 0.0464 NA
269 5.91 0.0213 NA
270 5.81 -0.00894 NA
271 5.92 0.000338 NA
272 6.05 0.0390 NA
273 6.23 0.0504 0.104
274 6.36 0.0487 NA
275 6.32 0.0142 NA
276 6.39 0.00407 NA
277 6.52 0.0301 NA
278 6.22 -0.0267 NA
279 6.30 -0.0346 NA
280 6.63 0.0624 NA
281 6.72 0.0628 NA
282 6.84 0.0295 NA
283 6.99 0.0392 NA
284 6.9 0.00928 NA
285 6.84 -0.0219 NA
286 6.91 0.000869 NA
287 6.75 -0.0139 NA
288 6.72 -0.0271 NA
289 6.76 0.00177 NA
290 6.68 -0.00629 NA
291 6.88 0.0174 NA
292 6.81 0.0185 NA
293 6.75 -0.0190 NA
294 6.62 -0.0281 0.0950
295 6.62 -0.0196 NA
296 6.61 -0.00121 NA
297 6.95 0.0466 NA
298 7.20 0.0816 NA
299 7.22 0.0374 NA
300 7.06 -0.0204 NA
which ideally I want (for example) the value 0.0927 to be repeated until the next value 0.104 occurs.And the latter to be repeated in the same fashion (pattern).How can I do this replacement?理想情况下,我希望(例如)重复值 0.0927,直到出现下一个值 0.104。而后者以相同的方式(模式)重复。我该如何进行替换?
And then plot them together?然后 plot 他们在一起?
Use na.locf0 which stands for last occurrence carried forward.使用代表最后一次出现结转的 na.locf0。 Below we have simplified the code.
下面我们简化了代码。 Omit facet = NULL if you want separate panels.
如果您想要单独的面板,请省略 facet = NULL。 The code below does not use dplyr so you can write just lag in place of stats::lag if you don't have dplyr loaded.
下面的代码不使用 dplyr,因此如果您没有加载 dplyr,您可以只写 lag 代替 stats::lag。 (dplyr clobbers R's lag with its own incompatible version.)
(dplyr 用它自己的不兼容版本破坏了 R 的滞后。)
library(quantmod)
library(fGarch)
library(ggplot2)
garnor <- function(x, alpha = 0.01) {
t <- length(x)
fit <- garchFit(~ garch(1,1), data = x, trace = FALSE, cond.dist = "norm")
m <- fit@fitted
cv <- fit@sigma.t
var <- m+cv*qnorm(1-alpha)
var[t]
}
getSymbols("TSLA", from = "2011-01-01", to = "2022-01-31")
adj <- Ad(TSLA)
y <- na.omit(1 - stats::lag(adj, 2) / adj)
back <- na.locf0(rollapplyr(y, 252, by = 21, garnor))
names(back) <- "Back"
autoplot(cbind(y, back), facets = NULL)
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