Calculate weekly returns from daily prices In R
Question
I would like to calculate weekly returns from a daily basis (using the wed-to-wed convention). The original data looks as follows (extract):
...
4003 1985-05-06 200.764
4004 1985-05-07 202.502
4005 1985-05-08 202.683
4006 1985-05-09 204.642
4007 1985-05-10 206.051
4008 1985-05-13 207.702
4009 1985-05-14 207.630
4010 1985-05-15 207.585
4011 1985-05-16 207.843
4012 1985-05-17 209.723
4013 1985-05-20 212.843
...
For calculating the weekly returns, I want to extract the data of every Wednesday. If one week does not include a Wednesday, I want to exctract the following weekday.
For extracting the data of Wednesdays, I used the following code:
wednesday = as.POSIXlt(time(data))$wday == 3
indx <- c(0, which(wednesday))
datanew<-period.apply(data, INDEX=indx, FUN=last)
But with this code, data of Wednesdays are obviously not extracted if there is no Data for Wednesday in this week, meaning there is a holiday on Wednesday.
Can anybody help?
2 answers
solution1
0 2015-10-28 00:31:07
Here is my proposal to calculate a vector idx that can be used as the INDEX argument of period.apply :
#-------------------------------------------------------------------
# Example data:
set.seed(1)
N <- 1000
data <- data.frame( t = as.Date("1985-01-01") + (0:(N-1))*as.difftime(1,units="days"),
x = sample(100:300,N,replace=TRUE))
weekDay <- function(t=data$t){as.POSIXlt(t)$wday}
# Remove Saterdays, Sundays, and 20% of the rest:
data <- data[-which(weekDay() %in% c(0,6)),]
data <- data[-sample(1:nrow(data),ceiling(0.2*nrow(data))),]
#--------------------------------------------------------------------------
# Count the number of weeks:
dt <- data$t[nrow(data)] - data$t[1]
units(dt) <- "days"
weekCnt <- ceiling(as.numeric(dt)/7)
#--------------------------------------------------------------------------
# Find all Wednesdays in the interval from data$t[1] to data$t[nrow(data)]:
wed.0 <- data$t[1] + ((3-weekDay(data$t[1])) %% 7)*as.difftime(1,units="days")
wed <- wed.0 + (0:(weekCnt-1))*as.difftime(7,units="days")
#--------------------------------------------------------------------------
# For each week find the the smallest index i such that data$t[i] is not
# earlier than the Wednesday of that week:
idx <- rep(NA,weekCnt)
for ( i in 1:weekCnt ) { idx[i] <- which.max( wed[i] <= data$t ) }
#--------------------------------------------------------------------------
# Check the result:
X <- cbind( data, weekDay(), week=strftime(data$t,format="%W"), selected=rep(FALSE,nrow(data)))
X$selected[idx] <- TRUE
(I'm sorry for the for -loop. But it's nothing growing in there, so this is a harmless for -loop.) The result is summarized in X :
> X
t x weekDay() week selected
1 1985-01-01 153 2 00 FALSE
3 1985-01-03 215 4 00 TRUE
7 1985-01-07 289 1 01 FALSE
9 1985-01-09 226 3 01 TRUE
10 1985-01-10 112 4 01 FALSE
14 1985-01-14 177 1 02 FALSE
15 1985-01-15 254 2 02 FALSE
16 1985-01-16 200 3 02 TRUE
17 1985-01-17 244 4 02 FALSE
18 1985-01-18 299 5 02 FALSE
21 1985-01-21 287 1 03 FALSE
22 1985-01-22 142 2 03 FALSE
23 1985-01-23 230 3 03 TRUE
25 1985-01-25 153 5 03 FALSE
28 1985-01-28 176 1 04 FALSE
30 1985-01-30 168 3 04 TRUE
31 1985-01-31 196 4 04 FALSE
32 1985-02-01 220 5 04 FALSE
35 1985-02-04 266 1 05 FALSE
36 1985-02-05 234 2 05 FALSE
37 1985-02-06 259 3 05 TRUE
39 1985-02-08 245 5 05 FALSE
42 1985-02-11 230 1 06 FALSE
44 1985-02-13 211 3 06 TRUE
45 1985-02-14 206 4 06 FALSE
46 1985-02-15 258 5 06 FALSE
49 1985-02-18 247 1 07 FALSE
50 1985-02-19 239 2 07 FALSE
51 1985-02-20 196 3 07 TRUE
52 1985-02-21 273 4 07 FALSE
53 1985-02-22 188 5 07 FALSE
56 1985-02-25 119 1 08 FALSE
57 1985-02-26 163 2 08 FALSE
58 1985-02-27 204 3 08 TRUE
59 1985-02-28 233 4 08 FALSE
60 1985-03-01 181 5 08 FALSE
63 1985-03-04 192 1 09 FALSE
64 1985-03-05 166 2 09 FALSE
65 1985-03-06 230 3 09 TRUE
66 1985-03-07 151 4 09 FALSE
67 1985-03-08 196 5 09 FALSE
70 1985-03-11 275 1 10 FALSE
71 1985-03-12 168 2 10 FALSE
72 1985-03-13 268 3 10 TRUE
74 1985-03-15 167 5 10 FALSE
77 1985-03-18 273 1 11 FALSE
78 1985-03-19 178 2 11 FALSE
79 1985-03-20 256 3 11 TRUE
80 1985-03-21 293 4 11 FALSE
81 1985-03-22 187 5 11 FALSE
85 1985-03-26 252 2 12 FALSE
86 1985-03-27 140 3 12 TRUE
87 1985-03-28 242 4 12 FALSE
88 1985-03-29 124 5 12 FALSE
92 1985-04-02 111 2 13 FALSE
94 1985-04-04 276 4 13 TRUE
95 1985-04-05 256 5 13 FALSE
98 1985-04-08 182 1 14 FALSE
100 1985-04-10 221 3 14 TRUE
101 1985-04-11 231 4 14 FALSE
102 1985-04-12 170 5 14 FALSE
105 1985-04-15 227 1 15 FALSE
108 1985-04-18 196 4 15 TRUE
109 1985-04-19 285 5 15 FALSE
112 1985-04-22 247 1 16 FALSE
114 1985-04-24 186 3 16 TRUE
115 1985-04-25 129 4 16 FALSE
116 1985-04-26 102 5 16 FALSE
120 1985-04-30 228 2 17 FALSE
121 1985-05-01 299 3 17 TRUE
122 1985-05-02 199 4 17 FALSE
123 1985-05-03 197 5 17 FALSE
126 1985-05-06 191 1 18 FALSE
127 1985-05-07 202 2 18 FALSE
130 1985-05-10 219 5 18 TRUE
133 1985-05-13 107 1 19 FALSE
134 1985-05-14 229 2 19 FALSE
135 1985-05-15 286 3 19 TRUE
136 1985-05-16 220 4 19 FALSE
137 1985-05-17 212 5 19 FALSE
140 1985-05-20 202 1 20 FALSE
141 1985-05-21 237 2 20 FALSE
142 1985-05-22 220 3 20 TRUE
148 1985-05-28 250 2 21 FALSE
151 1985-05-31 223 5 21 TRUE
155 1985-06-04 200 2 22 FALSE
156 1985-06-05 136 3 22 TRUE
157 1985-06-06 206 4 22 FALSE
158 1985-06-07 115 5 22 FALSE
161 1985-06-10 157 1 23 FALSE
163 1985-06-12 189 3 23 TRUE
164 1985-06-13 256 4 23 FALSE
165 1985-06-14 277 5 23 FALSE
168 1985-06-17 167 1 24 FALSE
170 1985-06-19 167 3 24 TRUE
171 1985-06-20 226 4 24 FALSE
172 1985-06-21 268 5 24 FALSE
175 1985-06-24 176 1 25 FALSE
176 1985-06-25 279 2 25 FALSE
178 1985-06-27 248 4 25 TRUE
179 1985-06-28 221 5 25 FALSE
182 1985-07-01 138 1 26 FALSE
183 1985-07-02 278 2 26 FALSE
184 1985-07-03 201 3 26 TRUE
185 1985-07-04 276 4 26 FALSE
189 1985-07-08 289 1 27 FALSE
190 1985-07-09 210 2 27 FALSE
191 1985-07-10 243 3 27 TRUE
192 1985-07-11 178 4 27 FALSE
196 1985-07-15 218 1 28 FALSE
197 1985-07-16 122 2 28 FALSE
198 1985-07-17 268 3 28 TRUE
200 1985-07-19 257 5 28 FALSE
203 1985-07-22 203 1 29 FALSE
204 1985-07-23 154 2 29 FALSE
205 1985-07-24 136 3 29 TRUE
206 1985-07-25 204 4 29 FALSE
207 1985-07-26 213 5 29 FALSE
210 1985-07-29 244 1 30 FALSE
212 1985-07-31 120 3 30 TRUE
213 1985-08-01 253 4 30 FALSE
217 1985-08-05 230 1 31 FALSE
219 1985-08-07 291 3 31 TRUE
220 1985-08-08 168 4 31 FALSE
221 1985-08-09 152 5 31 FALSE
225 1985-08-13 285 2 32 FALSE
226 1985-08-14 202 3 32 TRUE
227 1985-08-15 151 4 32 FALSE
231 1985-08-19 169 1 33 FALSE
233 1985-08-21 175 3 33 TRUE
234 1985-08-22 226 4 33 FALSE
235 1985-08-23 178 5 33 FALSE
238 1985-08-26 211 1 34 FALSE
239 1985-08-27 186 2 34 FALSE
240 1985-08-28 190 3 34 TRUE
241 1985-08-29 161 4 34 FALSE
242 1985-08-30 216 5 34 FALSE
245 1985-09-02 183 1 35 FALSE
246 1985-09-03 142 2 35 FALSE
247 1985-09-04 186 3 35 TRUE
248 1985-09-05 126 4 35 FALSE
249 1985-09-06 192 5 35 FALSE
252 1985-09-09 287 1 36 FALSE
253 1985-09-10 194 2 36 FALSE
255 1985-09-12 197 4 36 TRUE
256 1985-09-13 121 5 36 FALSE
260 1985-09-17 287 2 37 FALSE
263 1985-09-20 155 5 37 TRUE
266 1985-09-23 133 1 38 FALSE
267 1985-09-24 112 2 38 FALSE
268 1985-09-25 251 3 38 TRUE
269 1985-09-26 224 4 38 FALSE
273 1985-09-30 176 1 39 FALSE
274 1985-10-01 134 2 39 FALSE
275 1985-10-02 160 3 39 TRUE
276 1985-10-03 138 4 39 FALSE
277 1985-10-04 151 5 39 FALSE
280 1985-10-07 254 1 40 FALSE
281 1985-10-08 105 2 40 FALSE
282 1985-10-09 205 3 40 TRUE
283 1985-10-10 276 4 40 FALSE
284 1985-10-11 174 5 40 FALSE
287 1985-10-14 164 1 41 FALSE
288 1985-10-15 131 2 41 FALSE
290 1985-10-17 144 4 41 TRUE
291 1985-10-18 145 5 41 FALSE
294 1985-10-21 165 1 42 FALSE
297 1985-10-24 119 4 42 TRUE
298 1985-10-25 123 5 42 FALSE
302 1985-10-29 119 2 43 FALSE
303 1985-10-30 199 3 43 TRUE
304 1985-10-31 192 4 43 FALSE
305 1985-11-01 175 5 43 FALSE
308 1985-11-04 263 1 44 FALSE
309 1985-11-05 113 2 44 FALSE
310 1985-11-06 180 3 44 TRUE
311 1985-11-07 128 4 44 FALSE
312 1985-11-08 138 5 44 FALSE
315 1985-11-11 153 1 45 FALSE
316 1985-11-12 199 2 45 FALSE
317 1985-11-13 116 3 45 TRUE
318 1985-11-14 171 4 45 FALSE
319 1985-11-15 294 5 45 FALSE
324 1985-11-20 300 3 46 TRUE
326 1985-11-22 291 5 46 FALSE
331 1985-11-27 298 3 47 TRUE
332 1985-11-28 159 4 47 FALSE
333 1985-11-29 180 5 47 FALSE
336 1985-12-02 173 1 48 FALSE
337 1985-12-03 188 2 48 FALSE
340 1985-12-06 295 5 48 TRUE
343 1985-12-09 208 1 49 FALSE
345 1985-12-11 235 3 49 TRUE
346 1985-12-12 154 4 49 FALSE
347 1985-12-13 194 5 49 FALSE
350 1985-12-16 245 1 50 FALSE
351 1985-12-17 197 2 50 FALSE
353 1985-12-19 257 4 50 TRUE
357 1985-12-23 270 1 51 FALSE
358 1985-12-24 116 2 51 FALSE
360 1985-12-26 194 4 51 TRUE
364 1985-12-30 155 1 52 FALSE
365 1985-12-31 217 2 52 FALSE
367 1986-01-02 114 4 00 TRUE
368 1986-01-03 241 5 00 FALSE
372 1986-01-07 212 2 01 FALSE
373 1986-01-08 286 3 01 TRUE
374 1986-01-09 146 4 01 FALSE
375 1986-01-10 144 5 01 FALSE
378 1986-01-13 273 1 02 FALSE
379 1986-01-14 135 2 02 FALSE
380 1986-01-15 199 3 02 TRUE
382 1986-01-17 213 5 02 FALSE
385 1986-01-20 146 1 03 FALSE
386 1986-01-21 148 2 03 FALSE
387 1986-01-22 260 3 03 TRUE
388 1986-01-23 267 4 03 FALSE
389 1986-01-24 122 5 03 FALSE
392 1986-01-27 128 1 04 FALSE
393 1986-01-28 285 2 04 FALSE
395 1986-01-30 131 4 04 TRUE
396 1986-01-31 170 5 04 FALSE
399 1986-02-03 170 1 05 FALSE
400 1986-02-04 129 2 05 FALSE
401 1986-02-05 232 3 05 TRUE
402 1986-02-06 137 4 05 FALSE
403 1986-02-07 291 5 05 FALSE
406 1986-02-10 245 1 06 FALSE
408 1986-02-12 256 3 06 TRUE
409 1986-02-13 102 4 06 FALSE
413 1986-02-17 250 1 07 FALSE
415 1986-02-19 241 3 07 TRUE
416 1986-02-20 195 4 07 FALSE
420 1986-02-24 265 1 08 FALSE
421 1986-02-25 187 2 08 FALSE
422 1986-02-26 203 3 08 TRUE
423 1986-02-27 233 4 08 FALSE
427 1986-03-03 117 1 09 FALSE
428 1986-03-04 287 2 09 FALSE
429 1986-03-05 268 3 09 TRUE
430 1986-03-06 276 4 09 FALSE
431 1986-03-07 288 5 09 FALSE
434 1986-03-10 208 1 10 FALSE
435 1986-03-11 121 2 10 FALSE
436 1986-03-12 261 3 10 TRUE
437 1986-03-13 248 4 10 FALSE
438 1986-03-14 110 5 10 FALSE
441 1986-03-17 108 1 11 FALSE
442 1986-03-18 159 2 11 FALSE
443 1986-03-19 200 3 11 TRUE
444 1986-03-20 222 4 11 FALSE
448 1986-03-24 289 1 12 FALSE
450 1986-03-26 114 3 12 TRUE
451 1986-03-27 293 4 12 FALSE
455 1986-03-31 110 1 13 FALSE
456 1986-04-01 232 2 13 FALSE
457 1986-04-02 216 3 13 TRUE
458 1986-04-03 298 4 13 FALSE
459 1986-04-04 221 5 13 FALSE
462 1986-04-07 195 1 14 FALSE
463 1986-04-08 100 2 14 FALSE
464 1986-04-09 188 3 14 TRUE
465 1986-04-10 152 4 14 FALSE
466 1986-04-11 288 5 14 FALSE
469 1986-04-14 195 1 15 FALSE
470 1986-04-15 238 2 15 FALSE
472 1986-04-17 291 4 15 TRUE
473 1986-04-18 243 5 15 FALSE
476 1986-04-21 148 1 16 FALSE
478 1986-04-23 187 3 16 TRUE
479 1986-04-24 200 4 16 FALSE
480 1986-04-25 239 5 16 FALSE
483 1986-04-28 270 1 17 FALSE
485 1986-04-30 218 3 17 TRUE
487 1986-05-02 138 5 17 FALSE
490 1986-05-05 126 1 18 FALSE
491 1986-05-06 104 2 18 FALSE
492 1986-05-07 288 3 18 TRUE
493 1986-05-08 158 4 18 FALSE
494 1986-05-09 133 5 18 FALSE
498 1986-05-13 203 2 19 FALSE
499 1986-05-14 270 3 19 TRUE
501 1986-05-16 211 5 19 FALSE
505 1986-05-20 194 2 20 FALSE
506 1986-05-21 294 3 20 TRUE
507 1986-05-22 180 4 20 FALSE
508 1986-05-23 270 5 20 FALSE
511 1986-05-26 275 1 21 FALSE
513 1986-05-28 101 3 21 TRUE
514 1986-05-29 246 4 21 FALSE
515 1986-05-30 244 5 21 FALSE
518 1986-06-02 208 1 22 FALSE
519 1986-06-03 167 2 22 FALSE
520 1986-06-04 228 3 22 TRUE
521 1986-06-05 266 4 22 FALSE
522 1986-06-06 242 5 22 FALSE
525 1986-06-09 178 1 23 FALSE
526 1986-06-10 286 2 23 FALSE
527 1986-06-11 261 3 23 TRUE
528 1986-06-12 252 4 23 FALSE
532 1986-06-16 105 1 24 FALSE
534 1986-06-18 155 3 24 TRUE
535 1986-06-19 123 4 24 FALSE
536 1986-06-20 108 5 24 FALSE
539 1986-06-23 134 1 25 FALSE
540 1986-06-24 224 2 25 FALSE
541 1986-06-25 179 3 25 TRUE
542 1986-06-26 292 4 25 FALSE
543 1986-06-27 231 5 25 FALSE
547 1986-07-01 300 2 26 FALSE
548 1986-07-02 176 3 26 TRUE
549 1986-07-03 212 4 26 FALSE
550 1986-07-04 247 5 26 FALSE
553 1986-07-07 102 1 27 FALSE
554 1986-07-08 282 2 27 FALSE
555 1986-07-09 254 3 27 TRUE
557 1986-07-11 118 5 27 FALSE
560 1986-07-14 266 1 28 FALSE
561 1986-07-15 231 2 28 FALSE
563 1986-07-17 168 4 28 TRUE
568 1986-07-22 229 2 29 FALSE
569 1986-07-23 156 3 29 TRUE
570 1986-07-24 292 4 29 FALSE
574 1986-07-28 118 1 30 FALSE
575 1986-07-29 266 2 30 FALSE
576 1986-07-30 205 3 30 TRUE
578 1986-08-01 182 5 30 FALSE
581 1986-08-04 169 1 31 FALSE
582 1986-08-05 290 2 31 FALSE
584 1986-08-07 107 4 31 TRUE
585 1986-08-08 219 5 31 FALSE
588 1986-08-11 206 1 32 FALSE
589 1986-08-12 293 2 32 FALSE
590 1986-08-13 242 3 32 TRUE
591 1986-08-14 211 4 32 FALSE
595 1986-08-18 266 1 33 FALSE
596 1986-08-19 230 2 33 FALSE
597 1986-08-20 196 3 33 TRUE
598 1986-08-21 199 4 33 FALSE
599 1986-08-22 176 5 33 FALSE
602 1986-08-25 286 1 34 FALSE
603 1986-08-26 129 2 34 FALSE
604 1986-08-27 250 3 34 TRUE
605 1986-08-28 296 4 34 FALSE
606 1986-08-29 295 5 34 FALSE
609 1986-09-01 291 1 35 FALSE
610 1986-09-02 121 2 35 FALSE
612 1986-09-04 169 4 35 TRUE
618 1986-09-10 168 3 36 TRUE
619 1986-09-11 225 4 36 FALSE
620 1986-09-12 111 5 36 FALSE
624 1986-09-16 127 2 37 FALSE
625 1986-09-17 165 3 37 TRUE
627 1986-09-19 151 5 37 FALSE
630 1986-09-22 288 1 38 FALSE
631 1986-09-23 272 2 38 FALSE
632 1986-09-24 174 3 38 TRUE
633 1986-09-25 163 4 38 FALSE
634 1986-09-26 266 5 38 FALSE
637 1986-09-29 119 1 39 FALSE
638 1986-09-30 113 2 39 FALSE
639 1986-10-01 238 3 39 TRUE
640 1986-10-02 234 4 39 FALSE
644 1986-10-06 140 1 40 FALSE
647 1986-10-09 106 4 40 TRUE
651 1986-10-13 235 1 41 FALSE
652 1986-10-14 269 2 41 FALSE
653 1986-10-15 172 3 41 TRUE
654 1986-10-16 178 4 41 FALSE
655 1986-10-17 214 5 41 FALSE
658 1986-10-20 218 1 42 FALSE
660 1986-10-22 274 3 42 TRUE
661 1986-10-23 174 4 42 FALSE
665 1986-10-27 171 1 43 FALSE
667 1986-10-29 283 3 43 TRUE
669 1986-10-31 174 5 43 FALSE
672 1986-11-03 204 1 44 FALSE
673 1986-11-04 266 2 44 FALSE
674 1986-11-05 205 3 44 TRUE
676 1986-11-07 184 5 44 FALSE
679 1986-11-10 159 1 45 FALSE
680 1986-11-11 155 2 45 FALSE
681 1986-11-12 254 3 45 TRUE
682 1986-11-13 256 4 45 FALSE
686 1986-11-17 201 1 46 FALSE
687 1986-11-18 177 2 46 FALSE
688 1986-11-19 185 3 46 TRUE
690 1986-11-21 284 5 46 FALSE
694 1986-11-25 220 2 47 FALSE
695 1986-11-26 185 3 47 TRUE
696 1986-11-27 212 4 47 FALSE
697 1986-11-28 258 5 47 FALSE
700 1986-12-01 195 1 48 FALSE
701 1986-12-02 286 2 48 FALSE
702 1986-12-03 281 3 48 TRUE
703 1986-12-04 250 4 48 FALSE
704 1986-12-05 235 5 48 FALSE
708 1986-12-09 206 2 49 FALSE
709 1986-12-10 289 3 49 TRUE
710 1986-12-11 243 4 49 FALSE
711 1986-12-12 245 5 49 FALSE
714 1986-12-15 257 1 50 FALSE
715 1986-12-16 188 2 50 FALSE
716 1986-12-17 186 3 50 TRUE
718 1986-12-19 129 5 50 FALSE
721 1986-12-22 100 1 51 FALSE
722 1986-12-23 221 2 51 FALSE
723 1986-12-24 282 3 51 TRUE
724 1986-12-25 242 4 51 FALSE
725 1986-12-26 152 5 51 FALSE
728 1986-12-29 216 1 52 FALSE
729 1986-12-30 186 2 52 FALSE
730 1986-12-31 110 3 52 TRUE
731 1987-01-01 246 4 00 FALSE
732 1987-01-02 210 5 00 FALSE
735 1987-01-05 243 1 01 FALSE
736 1987-01-06 159 2 01 FALSE
738 1987-01-08 266 4 01 TRUE
739 1987-01-09 117 5 01 FALSE
742 1987-01-12 209 1 02 FALSE
743 1987-01-13 222 2 02 FALSE
745 1987-01-15 141 4 02 TRUE
746 1987-01-16 176 5 02 FALSE
749 1987-01-19 124 1 03 FALSE
750 1987-01-20 235 2 03 FALSE
751 1987-01-21 199 3 03 TRUE
752 1987-01-22 281 4 03 FALSE
753 1987-01-23 210 5 03 FALSE
756 1987-01-26 138 1 04 FALSE
757 1987-01-27 187 2 04 FALSE
758 1987-01-28 145 3 04 TRUE
759 1987-01-29 293 4 04 FALSE
760 1987-01-30 190 5 04 FALSE
763 1987-02-02 274 1 05 FALSE
764 1987-02-03 141 2 05 FALSE
765 1987-02-04 135 3 05 TRUE
766 1987-02-05 133 4 05 FALSE
767 1987-02-06 213 5 05 FALSE
770 1987-02-09 242 1 06 FALSE
771 1987-02-10 195 2 06 FALSE
772 1987-02-11 264 3 06 TRUE
773 1987-02-12 103 4 06 FALSE
774 1987-02-13 300 5 06 FALSE
777 1987-02-16 105 1 07 FALSE
778 1987-02-17 251 2 07 FALSE
779 1987-02-18 141 3 07 TRUE
780 1987-02-19 300 4 07 FALSE
781 1987-02-20 282 5 07 FALSE
784 1987-02-23 194 1 08 FALSE
785 1987-02-24 273 2 08 FALSE
786 1987-02-25 133 3 08 TRUE
787 1987-02-26 224 4 08 FALSE
788 1987-02-27 158 5 08 FALSE
791 1987-03-02 135 1 09 FALSE
792 1987-03-03 111 2 09 FALSE
793 1987-03-04 289 3 09 TRUE
795 1987-03-06 204 5 09 FALSE
799 1987-03-10 262 2 10 FALSE
800 1987-03-11 170 3 10 TRUE
805 1987-03-16 154 1 11 FALSE
806 1987-03-17 236 2 11 FALSE
808 1987-03-19 290 4 11 TRUE
809 1987-03-20 168 5 11 FALSE
812 1987-03-23 177 1 12 FALSE
813 1987-03-24 171 2 12 FALSE
816 1987-03-27 209 5 12 TRUE
819 1987-03-30 148 1 13 FALSE
820 1987-03-31 244 2 13 FALSE
821 1987-04-01 170 3 13 TRUE
822 1987-04-02 211 4 13 FALSE
823 1987-04-03 249 5 13 FALSE
826 1987-04-06 107 1 14 FALSE
827 1987-04-07 144 2 14 FALSE
828 1987-04-08 173 3 14 TRUE
830 1987-04-10 246 5 14 FALSE
833 1987-04-13 269 1 15 FALSE
834 1987-04-14 256 2 15 FALSE
836 1987-04-16 215 4 15 TRUE
837 1987-04-17 115 5 15 FALSE
841 1987-04-21 285 2 16 FALSE
842 1987-04-22 127 3 16 TRUE
843 1987-04-23 147 4 16 FALSE
848 1987-04-28 229 2 17 FALSE
849 1987-04-29 243 3 17 TRUE
850 1987-04-30 170 4 17 FALSE
851 1987-05-01 290 5 17 FALSE
854 1987-05-04 297 1 18 FALSE
855 1987-05-05 143 2 18 FALSE
856 1987-05-06 107 3 18 TRUE
861 1987-05-11 104 1 19 FALSE
862 1987-05-12 153 2 19 FALSE
863 1987-05-13 239 3 19 TRUE
864 1987-05-14 106 4 19 FALSE
865 1987-05-15 112 5 19 FALSE
868 1987-05-18 226 1 20 FALSE
869 1987-05-19 245 2 20 FALSE
870 1987-05-20 115 3 20 TRUE
871 1987-05-21 184 4 20 FALSE
872 1987-05-22 295 5 20 FALSE
876 1987-05-26 102 2 21 FALSE
878 1987-05-28 191 4 21 TRUE
879 1987-05-29 248 5 21 FALSE
882 1987-06-01 289 1 22 FALSE
883 1987-06-02 293 2 22 FALSE
884 1987-06-03 280 3 22 TRUE
885 1987-06-04 199 4 22 FALSE
886 1987-06-05 257 5 22 FALSE
889 1987-06-08 216 1 23 FALSE
890 1987-06-09 166 2 23 FALSE
891 1987-06-10 100 3 23 TRUE
892 1987-06-11 113 4 23 FALSE
893 1987-06-12 117 5 23 FALSE
896 1987-06-15 123 1 24 FALSE
898 1987-06-17 107 3 24 TRUE
899 1987-06-18 101 4 24 FALSE
900 1987-06-19 132 5 24 FALSE
903 1987-06-22 154 1 25 FALSE
904 1987-06-23 137 2 25 FALSE
905 1987-06-24 145 3 25 TRUE
906 1987-06-25 112 4 25 FALSE
907 1987-06-26 112 5 25 FALSE
910 1987-06-29 108 1 26 FALSE
911 1987-06-30 205 2 26 FALSE
912 1987-07-01 258 3 26 TRUE
913 1987-07-02 239 4 26 FALSE
914 1987-07-03 113 5 26 FALSE
917 1987-07-06 131 1 27 FALSE
918 1987-07-07 244 2 27 FALSE
919 1987-07-08 241 3 27 TRUE
920 1987-07-09 277 4 27 FALSE
921 1987-07-10 165 5 27 FALSE
925 1987-07-14 279 2 28 FALSE
926 1987-07-15 265 3 28 TRUE
927 1987-07-16 245 4 28 FALSE
928 1987-07-17 158 5 28 FALSE
932 1987-07-21 286 2 29 FALSE
933 1987-07-22 148 3 29 TRUE
935 1987-07-24 247 5 29 FALSE
938 1987-07-27 193 1 30 FALSE
939 1987-07-28 272 2 30 FALSE
941 1987-07-30 141 4 30 TRUE
945 1987-08-03 191 1 31 FALSE
946 1987-08-04 183 2 31 FALSE
947 1987-08-05 234 3 31 TRUE
952 1987-08-10 135 1 32 FALSE
953 1987-08-11 229 2 32 FALSE
954 1987-08-12 275 3 32 TRUE
956 1987-08-14 152 5 32 FALSE
959 1987-08-17 198 1 33 FALSE
961 1987-08-19 172 3 33 TRUE
962 1987-08-20 188 4 33 FALSE
963 1987-08-21 125 5 33 FALSE
966 1987-08-24 148 1 34 FALSE
967 1987-08-25 172 2 34 FALSE
968 1987-08-26 279 3 34 TRUE
970 1987-08-28 247 5 34 FALSE
974 1987-09-01 293 2 35 FALSE
977 1987-09-04 104 5 35 TRUE
980 1987-09-07 261 1 36 FALSE
981 1987-09-08 127 2 36 FALSE
982 1987-09-09 132 3 36 TRUE
983 1987-09-10 298 4 36 FALSE
984 1987-09-11 180 5 36 FALSE
987 1987-09-14 209 1 37 FALSE
988 1987-09-15 165 2 37 FALSE
989 1987-09-16 300 3 37 TRUE
991 1987-09-18 126 5 37 FALSE
994 1987-09-21 140 1 38 FALSE
995 1987-09-22 126 2 38 FALSE
997 1987-09-24 227 4 38 TRUE
998 1987-09-25 156 5 38 FALSE
>
solution2
0 ACCPTED 2015-10-28 01:21:04
You can do this with the function below. The comments should explain how it works (comment if anything is unclear).
WedOrNext <- function(w) {
# find all the weekdays after Tuesday and before Saturday
iwd <- .indexwday(w)
i <- iwd > 2 & iwd < 6
# determine which row to return
if (any(i)) {
# return the first weekday after Tuesday
w[i][1L]
} else {
# return NA if there are no weekdays after Tuesday
NA
}
}
Now you can use split to break your data into weekly chunks, lapply to apply the WedOrNext function to each chunk, then do.call(rbind, ...) to put it all back together. Using the data you provided, the code below demonstrates what will happen if there's no data after Tuesday.
# run on your original object
x <- structure(c(200.764, 202.502, 202.683, 204.642, 206.051, 207.702, 207.63,
207.585, 207.843, 209.723, 212.843), .Dim = c(11L, 1L),
index = structure(c(484185600, 484272000, 484358400, 484444800, 484531200,
484790400, 484876800, 484963200, 485049600, 485136000, 485395200),
tzone = "UTC", tclass = "Date"), class = c("xts", "zoo"),
.indexCLASS = "Date", tclass = "Date", .indexTZ = "UTC", tzone = "UTC")
# The last week has no data after Tuesday, so it's not represented
do.call(rbind, lapply(split(x, "weeks"), WedOrNext))
# [,1]
# 1985-05-08 202.683
# 1985-05-15 207.585
And here's how it will perform if there is no data on Wednesday.
y <- structure(c(200.764, 202.502, 202.683, 204.642, 206.051, 207.702, 207.63,
207.585, 207.843, 209.723, 212.843, 200, 201, 202), class = c("xts", "zoo"),
.Dim = c(14L, 1L), index = structure(c(484185600, 484272000, 484358400,
484444800, 484531200, 484790400, 484876800, 484963200, 485049600, 485136000,
485395200, 485481600, 485654400, 485740800), tzone = "UTC", tclass = "Date"),
.indexCLASS = "Date", .indexTZ = "UTC", tclass = "Date", tzone = "UTC")
do.call(rbind, lapply(split(y, "weeks"), WedOrNext))
# [,1]
# 1985-05-08 202.683
# 1985-05-15 207.585
# 1985-05-23 201.000
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