使用rpy2通过R函数传递熊猫数据帧

Question

我试图在Python中重现R结果。 以下R代码有效：

library("TTR")
library("zoo")
library("xts")
library("quantmod")
getSymbols("^GSPC",from = "2014-01-01", to = "2015-01-01")
dataf = GSPC[,c("GSPC.High", "GSPC.Low", "GSPC.Close")]
result = CCI(dataf, n=20, c=0.015)

但不是以下Python代码：

from datetime import datetime
from rpy2.robjects.packages import importr
TTR = importr('TTR')
import pandas_datareader as pdr
from rpy2.robjects import pandas2ri
pandas2ri.activate()

GSPC = pdr.get_data_yahoo(symbols='^GSPC', start=datetime(2014, 1, 1), end=datetime(2015, 1, 1))
dataf = GSPC[['High', 'Low', 'Close']]
result = TTR.CCI(dataf, n=20, c=0.015)

使用TTR.CCI时，我得到的错误发生在最后一行。 追溯和返回的错误是：

Traceback (most recent call last):
File "svm_strat_test_oliver.py", line 30, in <module> result = TTR.CCI(dataf, n=20, c=0.015)
File "/usr/local/lib/python2.7/site-packages/rpy2/robjects/functions.py", line 178, in __call__
return super(SignatureTranslatedFunction, self).__call__(*args, **kwargs)
File "/usr/local/lib/python2.7/site-packages/rpy2/robjects/functions.py", line 106, in __call__
res = super(Function, self).__call__(*new_args, **new_kwargs)
rpy2.rinterface.RRuntimeError: Error in `[.data.frame`(center, beg:NROW(x)) : undefined columns selected

Answer 1

R代码中的data.frame实际上是一个“ xts”“ zoo”对象，您只需要在python代码中将其转换为一个对象即可：

rzoo = importr('zoo')
datazoo = zoo.as_zoo_xts(dataf)
result = TTR.CCI(datazoo, n=20, c=0.015)