问题描述
我正在尝试获得在特定时间持有某种资产的时间序列回报.
I'm trying to get a time series of returns for holding a certain asset for a specific time.
我的数据框如下所示:
Date Price
1998-01-01 20
1998-01-02 22
1998-01-03 21
1998-01-04 25
...
1998-01-20 25
1998-01-21 19
1998-01-21 20
....
1998-02-01 30
1998-02-02 28
1998-02-03 25
1998-02-04 26
etc.
我每天有 1 次观察，我的时间序列从 1998 年到 1999 年.
I have 1 observation for each day and my time series goes from 1998-1999.
我现在想要做的是计算持有我的资产 20 天的回报(即在第一天买入并在第 20 天卖出)，并且每天都这样做.所以我想计算一下:
What I would like to do now is calculate a return for holding my asset for 20 days (i.e. buying it at the first day and selling it at day 20), and do this for each day. So I would like to calculate this:
1.day: Return(20days) = log (Price(t=20)/Price (t=0)),
1.day: Return(20days) = log (Price(t=20) / Price (t=0)),
2.day: Return(20days) = log (Price(t=21)/Price (t=1)),
2.day: Return(20days) = log (Price(t=21) / Price (t=1)),
3.day: Return(20days) = log (Price(t=22)/Price (t=2))
3.day: Return(20days) = log (Price(t=22) / Price (t=2))
等，即在我的样本中每天都这样做.
etc., i.e. do this for every day in my sample.
因此，我生成的数据框将如下所示:
So, my resulting dataframe would look like this:
Date Return
1998-01-01 0.2
1998-01-02 0.4
1998-01-03 0.6
1998-01-04 0.1
...
1998-01-20 0.1
1998-01-21 0.2
1998-01-21 0.5
....
1998-02-01 0.1
1998-02-02 0.2
1998-02-03 0.5
1998-02-04 0.01
etc.
R 中有没有办法说:取前 20 个观察值，计算回报.取观察2-21，计算收益.取观察3-22，计算收益等?
Is there a way in R to say: take the first 20 observations, calculate the return. Take observation 2-21, calculate the return. Take observation 3-22, calculate the return etc.?
我完全被困住了，希望得到一些帮助.谢谢！丹妮
I'm totally stuck and would appreciate some help. Thanks!Dani
推荐答案
我建议切换到时间序列类，例如 xts 或 zoo.但是，如果您只是想完成它，并在以后了解更多信息，则可以将其作为数据框轻松完成.请注意，我必须用 NA 填充返回向量以使其正确排列，并且 hold 为 20 确实在 1 上买入并在 1 + 20 上卖出:
I suggest switching to a time series class, like xts or zoo. But if you just want to get it done, and learn more later, you can do it pretty easily as a data frame. Note that I have to pad the return vectors with NAs to make it line up correctly and that a hold of 20 really buy on 1 and sells on 1 + 20:
> library(xts)
> set.seed(2001)
> n <- 50
> hold <- 20
> price <- rep(55, n)
> walk <- rnorm(n)
> for (i in 2:n) price[i] <- price[i-1] + walk[i]
> data <- data.frame(date=as.Date("2001-05-25") + seq(n), price=price)
> data <- transform(data, return=c(diff(log(price), lag=hold), rep(NA, hold)))
如果你准备好使用 xts 或 zoo(这应该适用于任何一个)，那么我建议使用 rollapply 来获得转发看看(假设您想要前瞻性的回报，这使得在今天形成投资组合并了解它在未来如何运作变得更加容易):
If you're ready for xts or zoo (this should work in either), then I suggest using rollapply to get the forward look (assuming you want the forward looking return, which makes it a lot easier to form portfolios today and see how it works into the future):
> data.xts <- xts(data[, -1], data[, 1])
> f <- function(x) log(tail(x, 1)) - log(head(x, 1))
> data.xts$returns.xts <- rollapply(data.xts$price, FUN=f, width=hold+1, align="left", na.pad=T)
这两种方法是一样的:
> head(data.xts, hold+2)
price return returns.xts
[1,] 55.00000 0.026746496 0.026746496
[2,] 54.22219 0.029114744 0.029114744
[3,] 53.19811 0.047663206 0.047663206
[4,] 53.50088 0.046470723 0.046470723
[5,] 53.85202 0.041843116 0.041843116
[6,] 54.75061 0.018464467 0.018464467
[7,] 55.52704 -0.001105607 -0.001105607
[8,] 56.15930 -0.024183803 -0.024183803
[9,] 56.61779 -0.010757559 -0.010757559
[10,] 55.51042 0.005494771 0.005494771
[11,] 55.17217 0.044864991 0.044864991
[12,] 56.07005 0.025411005 0.025411005
[13,] 55.47287 0.052408720 0.052408720
[14,] 56.10754 0.034089602 0.034089602
[15,] 56.35584 0.075726190 0.075726190
[16,] 56.40290 0.072824657 0.072824657
[17,] 56.05761 0.070589032 0.070589032
[18,] 55.93916 0.069936575 0.069936575
[19,] 56.50367 0.081570964 0.081570964
[20,] 56.12105 0.116041931 0.116041931
[21,] 56.49091 0.095520517 0.095520517
[22,] 55.82406 0.137245367 0.137245367
这篇关于计算一段时间内的回报的文章就介绍到这了，希望我们推荐的答案对大家有所帮助，也希望大家多多支持！