按時間段查找quantmod中的第二高值

Question

我試圖在6個月的間隔期間找到最大值和第二大值。 我正在使用runMax來查找第一個值，但我無法弄清楚如何為第二個值做。 到目前為止，這是我的代碼：

    library(quantmod)
    library(TTR)
    getSymbols("GOOGL")
    GOOGL_mo<-to.monthly(GOOGL)#to get monthly data
    GOOGL_mo$Max_6mo<-runMax(GOOGL.High, 6)#add a column with the max value during a 6 months period

我想添加另一個具有第二大值的列，使其具有以下內容：

Date        Open      High     Low        Close     Volume   Max6mo  2ndMax6m0
Oct 2016    802.55    839.00   796.23     809.90    35391730 839.00  819.06
Nov 2016    810.87    816.04   743.59     775.88    48353316 839.00  819.06
Dec 2016    778.55    824.30   753.36     792.45    34356689 839.00  824.00
Jan 2017    800.62    867.00   796.89     820.19    36840255 867.00  839.00
Feb 2017    824.00    853.79   812.05     844.93    26492197 867.00  853.79
Mar 2017    851.38    874.42   824.30     847.80    34553208 874.42  867.00
Apr 2017    848.75    935.90   834.60     924.52    28721553 935.90  874.42
May 2017    924.15    965.90   920.80     942.17    21302485 965.90  935.90

任何想法？

Answer 1

這是一種方法：

df <- read.table(header=T, text="
            Open      High     Low        Close     Volume   Max6mo  2ndMax6m0
Aug2016    786.67    813.88   785.04     789.85    28857075 813.88  803.94
Sep2016    791.98    819.06   783.50     804.06    31574466 819.06  813.88
Oct2016    802.55    839.00   796.23     809.90    35391730 839.00  819.06
Nov2016    810.87    816.04   743.59     775.88    48353316 839.00  819.06
Dec2016    778.55    824.30   753.36     792.45    34356689 839.00  824.00
Jan2017    800.62    867.00   796.89     820.19    36840255 867.00  839.00
Feb2017    824.00    853.79   812.05     844.93    26492197 867.00  853.79
Mar2017    851.38    874.42   824.30     847.80    34553208 874.42  867.00
Apr2017    848.75    935.90   834.60     924.52    28721553 935.90  874.42
May2017    924.15    965.90   920.80     942.17    21302485 965.90  935.90")
cbind(
  df, 
  rollapplyr(df$High, 6, function(x) 
             setNames(sort(x, decreasing = T)[1:2], c("a","b")), fill = NA)
)
#           Open   High    Low  Close   Volume Max6mo X2ndMax6m0      a      b
# Aug2016 786.67 813.88 785.04 789.85 28857075 813.88     803.94     NA     NA
# Sep2016 791.98 819.06 783.50 804.06 31574466 819.06     813.88     NA     NA
# Oct2016 802.55 839.00 796.23 809.90 35391730 839.00     819.06     NA     NA
# Nov2016 810.87 816.04 743.59 775.88 48353316 839.00     819.06     NA     NA
# Dec2016 778.55 824.30 753.36 792.45 34356689 839.00     824.00     NA     NA
# Jan2017 800.62 867.00 796.89 820.19 36840255 867.00     839.00 867.00 839.00
# Feb2017 824.00 853.79 812.05 844.93 26492197 867.00     853.79 867.00 853.79
# Mar2017 851.38 874.42 824.30 847.80 34553208 874.42     867.00 874.42 867.00
# Apr2017 848.75 935.90 834.60 924.52 28721553 935.90     874.42 935.90 874.42

Answer 2

library(quantmod)
library(TTR)
getSymbols("GOOG",src="google")
GOOG <- to.monthly(GOOG)

thing <- data.frame(max1 = rep(NA, 5), max2 = rep(NA, 5))
for (x in 1:(nrow(GOOG)-5)) {
  max1 <- max(GOOG[x:(x+5), "GOOG.High"])
  max2 <- max(GOOG$GOOG.High[x:(x+5)][GOOG$GOOG.High[x:(x+5)] != max1])
  thing <- rbind(thing, data.frame(max1, max2))
}
GOOG <- cbind(data.frame(GOOG), thing)