2017-03-28 10 views
0

これが正しいスレッドではない場合はお詫び申し上げます。私はちょうどRの次の問題について非常に混乱しています。私は移動平均クロスオーバー(20日MAと50日MA)のための信号を設定しようとしています。言い換えれば、緑色の線が紫色の線の上を横切ったときに1、もう1つの場合には-1(緑色の上に紫色)、そうでなければ0であるベクトルのリストを作成しようとしています。変数が相互に交差するかどうかを調べる(MAクロスオーバー)

enter image description here

それは私のプロットの周りの8クロスオーバーがあるように思えるが、私は健全性チェックとしてwhichを使用しようとすると:

データは[5]緑のライン間がある
which(data[,5]==data[,6]) 

signal <- ifelse((data[,5]==data[,6])&(data[,5]>data[,6]), 1, ifelse((data[,5]==data[,6])&(data[,5]<data[,6]), -1, 0) 

ヘルプをbになります。データ[6]紫ですが、私は戻って私だけを使用しようとしている。このラインは動作しません(私は仮定している)、したがって、551行を取得しますeは非常に感謝!添付のサンプルは以下の通りです。

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答えて

1

いいえ10のクロスオーバーはありません。

df1[which(diff(sign(df1[,1]-df1[,2]))!=0),] 
        EUR.20D EUR.50D 
2015-05-06 01:00:00 1.0887 1.0870 
2015-07-13 01:00:00 1.1168 1.1174 
2015-08-25 01:00:00 1.1100 1.1091 
2015-10-27 01:00:00 1.1256 1.1260 
2015-12-25 01:00:00 1.0878 1.0869 
2016-05-30 01:00:00 1.1295 1.1310 
2016-08-19 01:00:00 1.1158 1.1143 
2016-10-07 01:00:00 1.1208 1.1208 
2016-10-10 01:00:00 1.1204 1.1207 
2017-01-24 01:00:00 1.0584 1.0576 
+0

おかげで、私は愚かであることや、手動でクロスオーバーをカウントしようとしていた:あなたはdiffsignwhichていることを観察することができます。私はあなたのコードを使用していますが、好奇心の念から、 ''(data [、5] == data [、6]) 'が1行しか返さなかったのはなぜですか?私はクロスオーバーの交差点が0になると仮定しています。 – Nikitau

+0

いいえ、クロスオーバーが同じレベルで正確に起こることは非常にまれです。ある日、50日のMAは20歳以下になり、次はそれ以上になります。これが違いの兆候の変化を見るべき理由です。 –

+0

@P Lapointeああ、それはたくさんの意味があります。私は今それを得ると思う - 本当のクロスオーバーは本当に高頻度の日中のデータで起こるだろう。それは私の心を完全に滑らせました。再度、感謝します! – Nikitau

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