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如何在 R 中使用 data.table 求股票的月收益率？

[英]How to find the monthly return of stocks using data.table in R?

 原文  2021-06-10 17:06:11  5   1    r/ data.table

问题描述

我有两个股票的两个月数据如下 -

dt <- structure(list(date = structure(c(18718, 18722, 18723, 18724, 
                                  18725, 18726, 18729, 18730, 18731, 18732, 18733, 18736, 18737, 
                                  18738, 18739, 18740, 18743, 18744, 18745, 18746, 18747, 18750, 
                                  18751, 18752, 18753, 18754, 18757, 18758, 18759, 18760, 18761, 
                                  18764, 18765, 18766, 18767, 18768, 18771, 18772, 18773, 18774, 
                                  18778, 18718, 18722, 18723, 18724, 18725, 18726, 18729, 18730, 
                                  18731, 18732, 18733, 18736, 18737, 18738, 18739, 18740, 18743, 
                                  18744, 18745, 18746, 18747, 18750, 18751, 18752, 18753, 18754, 
                                  18757, 18758, 18759, 18760, 18761, 18764, 18765, 18766, 18767, 
                                  18768, 18771, 18772, 18773, 18774, 18778), class = "Date"), 
               close = c(123, 
                         125.9, 126.21, 127.9, 130.36, 132.995, 131.24, 134.43, 132.03, 
                         134.5, 134.16, 134.84, 133.11, 133.5, 131.94, 134.32, 134.72, 
                         134.39, 133.58, 133.48, 131.46, 132.54, 127.85, 128.1, 129.74, 
                         130.21, 126.85, 125.91, 122.77, 124.97, 127.45, 126.27, 124.85, 
                         124.69, 127.31, 125.43, 127.1, 126.9, 126.85, 125.28, 124.61, 
                         2137.75, 2225.55, 2224.75, 2249.68, 2265.44, 2285.88, 2254.79, 
                         2267.27, 2254.84, 2296.66, 2297.76, 2302.4, 2293.63, 2293.29, 
                         2267.92, 2315.3, 2326.74, 2307.12, 2379.91, 2429.89, 2410.12, 
                         2395.17, 2354.25, 2356.74, 2381.35, 2398.69, 2341.66, 2308.76, 
                         2239.08, 2261.97, 2316.16, 2321.41, 2303.43, 2308.71, 2356.09, 
                         2345.1, 2406.67, 2409.07, 2433.53, 2402.51, 2411.56), 
               ticker = c("AAPL", 
                          "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", 
                          "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", 
                          "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", 
                          "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", 
                          "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", "AAPL", 
                          "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", 
                          "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", 
                          "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", 
                          "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", 
                          "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", "GOOG", 
                          "GOOG")), row.names = c(NA, -82L), class = c("data.table", "data.frame"
                          ))

我想仅使用 data.table 找到这些股票的月收益。 是否有任何现有的 function 或实现此目的的简单方法？

我尝试使用以下代码解决它，但它给出了错误 -

dt[, return := rep(periodReturn(.SD, period = 'monthly', type = "arithmetic"), .N), by = .(ticker)]

这是错误

Error in `[.data.table`(dt, , `:=`(return, rep(periodReturn(.SD, period = "monthly",  : 
  Supplied 82 items to be assigned to group 1 of size 41 in column 'return'. The RHS length must either be 1 (single values are ok) or match the LHS length exactly. If you wish to 'recycle' the RHS please use rep() explicitly to make this intent clear to readers of your code.

任何见解都会有所帮助。

预期的 output 是

ticker  month   return
AAPL    4      0.06878049
AAPL    5      -0.05210710
GOOG    4      0.1274096597
GOOG    5      0.0005974806

1 个解决方案

解决方案1
 2 已采纳  2021-06-10 17:10:09

如果我们在rep中指定length.out ，也许可以解决大小不匹配的错误

library(data.table)
library(quantmod)
dt[, return := rep(periodReturn(.SD, period = 'monthly', 
          type = "arithmetic"), length.out = .N), by = .(ticker)]

-输出

dt
          date    close ticker        return
 1: 2021-04-01  123.000   AAPL  0.0687804878
 2: 2021-04-05  125.900   AAPL -0.0521071048
 3: 2021-04-06  126.210   AAPL  0.0687804878
 4: 2021-04-07  127.900   AAPL -0.0521071048
 5: 2021-04-08  130.360   AAPL  0.0687804878
 6: 2021-04-09  132.995   AAPL -0.0521071048
 7: 2021-04-12  131.240   AAPL  0.0687804878
 8: 2021-04-13  134.430   AAPL -0.0521071048
 9: 2021-04-14  132.030   AAPL  0.0687804878
10: 2021-04-15  134.500   AAPL -0.0521071048
11: 2021-04-16  134.160   AAPL  0.0687804878
12: 2021-04-19  134.840   AAPL -0.0521071048
13: 2021-04-20  133.110   AAPL  0.0687804878
14: 2021-04-21  133.500   AAPL -0.0521071048
15: 2021-04-22  131.940   AAPL  0.0687804878
16: 2021-04-23  134.320   AAPL -0.0521071048
17: 2021-04-26  134.720   AAPL  0.0687804878
18: 2021-04-27  134.390   AAPL -0.0521071048
19: 2021-04-28  133.580   AAPL  0.0687804878
20: 2021-04-29  133.480   AAPL -0.0521071048
21: 2021-04-30  131.460   AAPL  0.0687804878
22: 2021-05-03  132.540   AAPL -0.0521071048
23: 2021-05-04  127.850   AAPL  0.0687804878
24: 2021-05-05  128.100   AAPL -0.0521071048
25: 2021-05-06  129.740   AAPL  0.0687804878
26: 2021-05-07  130.210   AAPL -0.0521071048
27: 2021-05-10  126.850   AAPL  0.0687804878
28: 2021-05-11  125.910   AAPL -0.0521071048
29: 2021-05-12  122.770   AAPL  0.0687804878
30: 2021-05-13  124.970   AAPL -0.0521071048
31: 2021-05-14  127.450   AAPL  0.0687804878
32: 2021-05-17  126.270   AAPL -0.0521071048
33: 2021-05-18  124.850   AAPL  0.0687804878
34: 2021-05-19  124.690   AAPL -0.0521071048
35: 2021-05-20  127.310   AAPL  0.0687804878
36: 2021-05-21  125.430   AAPL -0.0521071048
37: 2021-05-24  127.100   AAPL  0.0687804878
38: 2021-05-25  126.900   AAPL -0.0521071048
39: 2021-05-26  126.850   AAPL  0.0687804878
40: 2021-05-27  125.280   AAPL -0.0521071048
41: 2021-05-31  124.610   AAPL  0.0687804878
42: 2021-04-01 2137.750   GOOG  0.1274096597
43: 2021-04-05 2225.550   GOOG  0.0005974806
44: 2021-04-06 2224.750   GOOG  0.1274096597
45: 2021-04-07 2249.680   GOOG  0.0005974806
46: 2021-04-08 2265.440   GOOG  0.1274096597
47: 2021-04-09 2285.880   GOOG  0.0005974806
48: 2021-04-12 2254.790   GOOG  0.1274096597
49: 2021-04-13 2267.270   GOOG  0.0005974806
50: 2021-04-14 2254.840   GOOG  0.1274096597
51: 2021-04-15 2296.660   GOOG  0.0005974806
52: 2021-04-16 2297.760   GOOG  0.1274096597
53: 2021-04-19 2302.400   GOOG  0.0005974806
54: 2021-04-20 2293.630   GOOG  0.1274096597
55: 2021-04-21 2293.290   GOOG  0.0005974806
56: 2021-04-22 2267.920   GOOG  0.1274096597
57: 2021-04-23 2315.300   GOOG  0.0005974806
58: 2021-04-26 2326.740   GOOG  0.1274096597
59: 2021-04-27 2307.120   GOOG  0.0005974806
60: 2021-04-28 2379.910   GOOG  0.1274096597
61: 2021-04-29 2429.890   GOOG  0.0005974806
62: 2021-04-30 2410.120   GOOG  0.1274096597
63: 2021-05-03 2395.170   GOOG  0.0005974806
64: 2021-05-04 2354.250   GOOG  0.1274096597
65: 2021-05-05 2356.740   GOOG  0.0005974806
66: 2021-05-06 2381.350   GOOG  0.1274096597
67: 2021-05-07 2398.690   GOOG  0.0005974806
68: 2021-05-10 2341.660   GOOG  0.1274096597
69: 2021-05-11 2308.760   GOOG  0.0005974806
70: 2021-05-12 2239.080   GOOG  0.1274096597
71: 2021-05-13 2261.970   GOOG  0.0005974806
72: 2021-05-14 2316.160   GOOG  0.1274096597
73: 2021-05-17 2321.410   GOOG  0.0005974806
74: 2021-05-18 2303.430   GOOG  0.1274096597
75: 2021-05-19 2308.710   GOOG  0.0005974806
76: 2021-05-20 2356.090   GOOG  0.1274096597
77: 2021-05-21 2345.100   GOOG  0.0005974806
78: 2021-05-24 2406.670   GOOG  0.1274096597
79: 2021-05-25 2409.070   GOOG  0.0005974806
80: 2021-05-26 2433.530   GOOG  0.1274096597
81: 2021-05-27 2402.510   GOOG  0.0005974806
82: 2021-05-31 2411.560   GOOG  0.1274096597

如果我们想总结一下，将它包装在一个list ，因为在periodReturn的matrix之上构建的xts属性可能需要它被阻止在一个list 。 当我们使用rep时，它会xts/matrix属性，结果列是numeric vector

dt[, .(return = .(periodReturn(.SD, period = 'monthly',
       type = "arithmetic"))), .(ticker)]
   ticker                    return
1:   AAPL    0.06878049,-0.05210710
2:   GOOG 0.1274096597,0.0005974806

或者通过转换为numeric来删除xts属性，它应该可以工作

library(lubridate)
dt[, .(month = unique(month(date)), 
    return = as.numeric(periodReturn(.SD, period = 'monthly',
       type = "arithmetic"))), .(ticker)]
ticker month        return
1:   AAPL     4  0.0687804878
2:   AAPL     5 -0.0521071048
3:   GOOG     4  0.1274096597
4:   GOOG     5  0.0005974806

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