R行の繰り返し

Question

Rに新しく、小さな問題でいくつかの助けが大好きです。

株価のXTSデータセットにOHLCとその他の情報があります。私のデータセットの構造については画像を見てください。 「Is.Previous.Up」列は、前の行が「Open」値よりも高い「Close」値を持つ場合は1を持ちます。私はすべての行を繰り返し、3つの前のレコードが "Is.Previous.Up"に1の値を持つときに記録したい基本的には、ログを記録するだけです。

ここで私はそれをやろうとしていますが、決して結果を出すことはありませんが、エラーは発生しません。私はこれを行うためにはるかにクリーンな方法があると仮定します。

nrowstotal <- nrow(nq1m_rth_withruns) 
counter = 0 
for (i in 1:nrowstotal) 
{ 
    if (isTRUE(nq1m_rth_withruns$Is.Previous.Up) & isTRUE(lag(nq1m_rth_withruns$Is.Previous.Up, 1)) & isTRUE(lag(nq1m_rth_withruns$Is.Previous.Up, 2))) 
    { 
    counter = counter + 1 
    } 
} 
counter 

ご協力いただければ幸いです。ここ

dataset

データのサンプルです。 「PrevUp」列に1が3回連続して表示される3つのインスタンスが存在する必要があります。

structure(c(6267.75, 6262.75, 6260.25, 6263, 6258.5, 6259, 6255.75, 
6241.25, 6243.5, 6244.75, 6235.25, 6233.75, 6235.75, 6240.75, 
6239, 6237.25, 6240.5, 6244.25, 6249.25, 6246.25, 6242.25, 6238.75, 
6239.75, 6246.5, 6240.75, 6240.5, 6240.25, 6242, 6239.25, 6238.25, 
6239.75, 6241.5, 6242.25, 6250.75, 6247.5, 6251, 6251, 6253.75, 
6255, 6254.25, 6254, 6255.75, 6257.5, 6256.25, 6253.25, 6252.5, 
6254.5, 6258.5, 6256.75, 6258.5, 6259, 6256.25, 6254.5, 6257.5, 
6258.75, 6259.75, 6260.25, 6261, 6268.5, 6264, 6264.75, 6264, 
6262.5, 6260.25, 6256, 6246.25, 6246, 6244.75, 6235.75, 6239, 
6241.25, 6241.25, 6241.25, 6240.75, 6244.75, 6249.75, 6249.25, 
6246.25, 6242.75, 6240, 6247.5, 6247.5, 6242.5, 6242, 6243.5, 
6242.5, 6240.5, 6241.5, 6243.75, 6243.25, 6250.75, 6251, 6251.5, 
6253.5, 6254, 6255.75, 6257, 6254.5, 6258, 6258.75, 6258.25, 
6257, 6254, 6254.75, 6258.75, 6259.25, 6259.25, 6261.25, 6260.75, 
6257.75, 6258.75, 6260, 6261.75, 6260.5, 6263, 6262, 6262.75, 
6259.25, 6259.25, 6257.5, 6258.25, 6254.5, 6238.25, 6241, 6242.5, 
6231.25, 6230.75, 6233.75, 6235.5, 6237.75, 6235, 6236, 6239.25, 
6243.25, 6245.5, 6241.25, 6236.75, 6236.25, 6239.5, 6238.75, 
6238.75, 6237.25, 6239, 6239.5, 6237, 6238.25, 6237.75, 6240.5, 
6242.25, 6247.25, 6247.5, 6249.5, 6250, 6253, 6253, 6251.75, 
6254, 6255.25, 6255.25, 6252.25, 6250.75, 6251, 6253.75, 6255.75, 
6255.5, 6257.25, 6254.75, 6254.5, 6253.75, 6257.25, 6258.25, 
6258.75, 6260.25, 6259.25, 6262.75, 6260.5, 6263.25, 6258.75, 
6259, 6255.75, 6241, 6243.25, 6245, 6235, 6234, 6235.5, 6241, 
6238.75, 6237.25, 6240.25, 6244.25, 6249.5, 6246.25, 6242.5, 
6238.5, 6240, 6246.25, 6240.75, 6240.75, 6240.25, 6241.75, 6239.5, 
6238.25, 6239.75, 6241.25, 6242.25, 6250.75, 6247.75, 6251.25, 
6251, 6254, 6255, 6254.25, 6253.75, 6255.75, 6257.5, 6256, 6253.25, 
6252.5, 6254.5, 6258.5, 6256.75, 6258.25, 6259, 6256.25, 6254.5, 
6257.75, 6259, 6259.75, 6260.25, 6260.75, 6260.5, 3815, 3606, 
2650, 2513, 1621, 4364, 9874, 3553, 1886, 5396, 3196, 2982, 2803, 
1993, 2453, 1646, 3815, 2376, 1890, 1534, 2122, 1584, 2229, 2159, 
1474, 1448, 1460, 892, 1287, 782, 1413, 1458, 2513, 1392, 1097, 
2488, 3091, 1653, 2331, 1162, 1441, 2007, 905, 1102, 1568, 1122, 
1219, 805, 1417, 3126, 1828, 833, 1574, 903, 941, 575, 1256, 
998, 2777, 2521, 1939, 1838, 1194, 2964, 6090, 2399, 1354, 3852, 
2245, 2041, 1962, 1458, 1779, 1323, 2602, 1788, 1455, 1181, 1651, 
1207, 1789, 1579, 1201, 1035, 1157, 756, 1065, 644, 1087, 875, 
1841, 1076, 855, 1806, 1646, 1114, 1445, 844, 1031, 1234, 658, 
840, 996, 673, 913, 633, 958, 1653, 1086, 615, 1003, 688, 692, 
422, 931, 648, 2347, 2185, 1223, 1582, 817, 2400, 6234, 1614, 
923, 3301, 1569, 1158, 1236, 1132, 1237, 695, 1627, 833, 1062, 
1001, 1300, 838, 930, 1376, 656, 698, 651, 443, 759, 320, 621, 
634, 782, 813, 383, 1214, 1479, 786, 1190, 712, 592, 855, 536, 
736, 913, 416, 441, 442, 520, 1430, 968, 507, 608, 378, 462, 
334, 502, 470, 1468, 1421, 1427, 931, 804, 1964, 3640, 1939, 
963, 2095, 1627, 1824, 1567, 861, 1216, 951, 2188, 1543, 828, 
533, 822, 746, 1299, 783, 818, 750, 809, 449, 528, 462, 792, 
824, 1731, 579, 714, 1274, 1612, 867, 1141, 450, 849, 1152, 369, 
366, 655, 706, 778, 363, 897, 1696, 860, 326, 966, 525, 479, 
241, 754, 528, 1, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 0, 0, 
1, 1, 1, 0, 0, 0, 1, 1, 0, 0, 0, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 
1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1 
), class = c("xts", "zoo"), .indexCLASS = c("POSIXct", "POSIXt" 
), tclass = c("POSIXct", "POSIXt"), .indexTZ = "", tzone = "", index = structure(c(1510756200, 
1510756260, 1510756320, 1510756380, 1510756440, 1510756500, 1510756560, 
1510756620, 1510756680, 1510756740, 1510756800, 1510756860, 1510756920, 
1510756980, 1510757040, 1510757100, 1510757160, 1510757220, 1510757280, 
1510757340, 1510757400, 1510757460, 1510757520, 1510757580, 1510757640, 
1510757700, 1510757760, 1510757820, 1510757880, 1510757940, 1510758000, 
1510758060, 1510758120, 1510758180, 1510758240, 1510758300, 1510758360, 
1510758420, 1510758480, 1510758540, 1510758600, 1510758660, 1510758720, 
1510758780, 1510758840, 1510758900, 1510758960, 1510759020, 1510759080, 
1510759140, 1510759200, 1510759260, 1510759320, 1510759380, 1510759440, 
1510759500, 1510759560, 1510759620), tzone = "", tclass = c("POSIXct", 
"POSIXt")), .Dim = c(58L, 9L), .Dimnames = list(NULL, c("Open", 
"High", "Low", "Close", "Volume", "NumberOfTrades", "BidVolume", 
"AskVolume", "PrevUp"))) 

Answer 1

find_OC_diff()機能は近いの値は、前の行で開いた値よりも大きい場所を見つけます。

PrevUpの列は使用していません。代わりに、CloseとOpenの値の列をxtsというオブジェクトに使用します。

find_OC_diff <- function(obj, val, col1, col2) 
{ 
    # difference between close and open 
    xts2 <- lag(obj[, col1] - obj[, col2]) 
    # assign the first value of close with 1 
    xts2[1, 1] <- 1 
    # get run length encoding for xts2$Close value greater than zero 
    xts2_rle <- rle(as.vector(xts2 > 0)) 
    # check if run lengths greater than val: example val = 3 
    # get its position 
    xts2_rle3 <- which(xts2_rle$lengths >= val) 
    # get the xts2_rle index where TRUE is greater than or equal to 3 
    hits <- xts2_rle3[xts2_rle$values[xts2_rle3]] 
    # create a dummy list based on xts2_rle structure. It will help 
    # isolate the hits with TRUE and the rest with FALSE values 
    close_hits <- Map(rep, x = FALSE, times = xts2_rle$lengths) 
    # assign TRUE for close_hits with hits indices 
    for(i in hits){ 
    close_hits[[i]] <- rep(TRUE, times = length(close_hits[[i]])) 
    } 
    # return the indices of xts object (obj) where the run length of 
    # a condition is greater than or equal to 3 (val). 
    return(close_hits) 
} 

library(xts) 
which(unlist(find_OC_diff(obj = xts1, val = 3, col1 = "Close", col2 = "Open"))) 
# [1] 17 18 19 31 32 33 34 54 55 56 57 58 

xts1[which(unlist(find_OC_diff(obj = xts1, val = 3, col1 = "Close", col2 = "Open")))] 
# Open High  Low Close Volume NumberOfTrades BidVolume AskVolume PrevUp 
# 2017-11-15 09:46:00 6240.50 6244.75 6239.25 6244.25 3815   2602  1627  2188  1 
# 2017-11-15 09:47:00 6244.25 6249.75 6243.25 6249.50 2376   1788  833  1543  1 
# 2017-11-15 09:48:00 6249.25 6249.25 6245.50 6246.25 1890   1455  1062  828  1 
# 2017-11-15 10:00:00 6239.75 6243.75 6237.75 6241.25 1413   1087  621  792  1 
# 2017-11-15 10:01:00 6241.50 6243.25 6240.50 6242.25 1458   875  634  824  1 
# 2017-11-15 10:02:00 6242.25 6250.75 6242.25 6250.75 2513   1841  782  1731  1 
# 2017-11-15 10:03:00 6250.75 6251.00 6247.25 6247.75 1392   1076  813  579  1 
# 2017-11-15 10:23:00 6257.50 6260.00 6257.25 6259.00 903   688  378  525  1 
# 2017-11-15 10:24:00 6258.75 6261.75 6258.25 6259.75 941   692  462  479  1 
# 2017-11-15 10:25:00 6259.75 6260.50 6258.75 6260.25 575   422  334  241  1 
# 2017-11-15 10:26:00 6260.25 6263.00 6260.25 6260.75 1256   931  502  754  1 
# 2017-11-15 10:27:00 6261.00 6262.00 6259.25 6260.50 998   648  470  528  1 

データ：

xts1 <- structure(c(6267.75, 6262.75, 6260.25, 6263, 6258.5, 6259, 6255.75, 
        6241.25, 6243.5, 6244.75, 6235.25, 6233.75, 6235.75, 6240.75, 
        6239, 6237.25, 6240.5, 6244.25, 6249.25, 6246.25, 6242.25, 6238.75, 
        6239.75, 6246.5, 6240.75, 6240.5, 6240.25, 6242, 6239.25, 6238.25, 
        6239.75, 6241.5, 6242.25, 6250.75, 6247.5, 6251, 6251, 6253.75, 
        6255, 6254.25, 6254, 6255.75, 6257.5, 6256.25, 6253.25, 6252.5, 
        6254.5, 6258.5, 6256.75, 6258.5, 6259, 6256.25, 6254.5, 6257.5, 
        6258.75, 6259.75, 6260.25, 6261, 6268.5, 6264, 6264.75, 6264, 
        6262.5, 6260.25, 6256, 6246.25, 6246, 6244.75, 6235.75, 6239, 
        6241.25, 6241.25, 6241.25, 6240.75, 6244.75, 6249.75, 6249.25, 
        6246.25, 6242.75, 6240, 6247.5, 6247.5, 6242.5, 6242, 6243.5, 
        6242.5, 6240.5, 6241.5, 6243.75, 6243.25, 6250.75, 6251, 6251.5, 
        6253.5, 6254, 6255.75, 6257, 6254.5, 6258, 6258.75, 6258.25, 
        6257, 6254, 6254.75, 6258.75, 6259.25, 6259.25, 6261.25, 6260.75, 
        6257.75, 6258.75, 6260, 6261.75, 6260.5, 6263, 6262, 6262.75, 
        6259.25, 6259.25, 6257.5, 6258.25, 6254.5, 6238.25, 6241, 6242.5, 
        6231.25, 6230.75, 6233.75, 6235.5, 6237.75, 6235, 6236, 6239.25, 
        6243.25, 6245.5, 6241.25, 6236.75, 6236.25, 6239.5, 6238.75, 
        6238.75, 6237.25, 6239, 6239.5, 6237, 6238.25, 6237.75, 6240.5, 
        6242.25, 6247.25, 6247.5, 6249.5, 6250, 6253, 6253, 6251.75, 
        6254, 6255.25, 6255.25, 6252.25, 6250.75, 6251, 6253.75, 6255.75, 
        6255.5, 6257.25, 6254.75, 6254.5, 6253.75, 6257.25, 6258.25, 
        6258.75, 6260.25, 6259.25, 6262.75, 6260.5, 6263.25, 6258.75, 
        6259, 6255.75, 6241, 6243.25, 6245, 6235, 6234, 6235.5, 6241, 
        6238.75, 6237.25, 6240.25, 6244.25, 6249.5, 6246.25, 6242.5, 
        6238.5, 6240, 6246.25, 6240.75, 6240.75, 6240.25, 6241.75, 6239.5, 
        6238.25, 6239.75, 6241.25, 6242.25, 6250.75, 6247.75, 6251.25, 
        6251, 6254, 6255, 6254.25, 6253.75, 6255.75, 6257.5, 6256, 6253.25, 
        6252.5, 6254.5, 6258.5, 6256.75, 6258.25, 6259, 6256.25, 6254.5, 
        6257.75, 6259, 6259.75, 6260.25, 6260.75, 6260.5, 3815, 3606, 
        2650, 2513, 1621, 4364, 9874, 3553, 1886, 5396, 3196, 2982, 2803, 
        1993, 2453, 1646, 3815, 2376, 1890, 1534, 2122, 1584, 2229, 2159, 
        1474, 1448, 1460, 892, 1287, 782, 1413, 1458, 2513, 1392, 1097, 
        2488, 3091, 1653, 2331, 1162, 1441, 2007, 905, 1102, 1568, 1122, 
        1219, 805, 1417, 3126, 1828, 833, 1574, 903, 941, 575, 1256, 
        998, 2777, 2521, 1939, 1838, 1194, 2964, 6090, 2399, 1354, 3852, 
        2245, 2041, 1962, 1458, 1779, 1323, 2602, 1788, 1455, 1181, 1651, 
        1207, 1789, 1579, 1201, 1035, 1157, 756, 1065, 644, 1087, 875, 
        1841, 1076, 855, 1806, 1646, 1114, 1445, 844, 1031, 1234, 658, 
        840, 996, 673, 913, 633, 958, 1653, 1086, 615, 1003, 688, 692, 
        422, 931, 648, 2347, 2185, 1223, 1582, 817, 2400, 6234, 1614, 
        923, 3301, 1569, 1158, 1236, 1132, 1237, 695, 1627, 833, 1062, 
        1001, 1300, 838, 930, 1376, 656, 698, 651, 443, 759, 320, 621, 
        634, 782, 813, 383, 1214, 1479, 786, 1190, 712, 592, 855, 536, 
        736, 913, 416, 441, 442, 520, 1430, 968, 507, 608, 378, 462, 
        334, 502, 470, 1468, 1421, 1427, 931, 804, 1964, 3640, 1939, 
        963, 2095, 1627, 1824, 1567, 861, 1216, 951, 2188, 1543, 828, 
        533, 822, 746, 1299, 783, 818, 750, 809, 449, 528, 462, 792, 
        824, 1731, 579, 714, 1274, 1612, 867, 1141, 450, 849, 1152, 369, 
        366, 655, 706, 778, 363, 897, 1696, 860, 326, 966, 525, 479, 
        241, 754, 528, 1, 0, 0, 1, 0, 1, 0, 0, 1, 1, 0, 0, 1, 1, 0, 0, 
        1, 1, 1, 0, 0, 0, 1, 1, 0, 0, 0, 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 
        1, 1, 0, 0, 1, 1, 0, 0, 0, 1, 1, 0, 1, 1, 0, 0, 1, 1, 1, 1, 1 
), class = c("xts", "zoo"), .indexCLASS = c("POSIXct", "POSIXt" 
), tclass = c("POSIXct", "POSIXt"), 
.indexTZ = "", tzone = "", 
index = structure(c(1510756200, 
        1510756260, 1510756320, 1510756380, 1510756440, 1510756500, 1510756560, 
        1510756620, 1510756680, 1510756740, 1510756800, 1510756860, 1510756920, 
        1510756980, 1510757040, 1510757100, 1510757160, 1510757220, 1510757280, 
        1510757340, 1510757400, 1510757460, 1510757520, 1510757580, 1510757640, 
        1510757700, 1510757760, 1510757820, 1510757880, 1510757940, 1510758000, 
        1510758060, 1510758120, 1510758180, 1510758240, 1510758300, 1510758360, 
        1510758420, 1510758480, 1510758540, 1510758600, 1510758660, 1510758720, 
        1510758780, 1510758840, 1510758900, 1510758960, 1510759020, 1510759080, 
        1510759140, 1510759200, 1510759260, 1510759320, 1510759380, 1510759440, 
        1510759500, 1510759560, 1510759620), 
tzone = "", tclass = c("POSIXct", "POSIXt")), 
.Dim = c(58L, 9L), 
.Dimnames = list(NULL, c("Open", "High", "Low", "Close", "Volume", "NumberOfTrades", 
         "BidVolume", "AskVolume", "PrevUp"))) 

Answer 2

rle（ランレングス符号化）は、ベクトルに沿って異なる値の長さを計算します。ここでは、1つの列だけを持つ短い例を作成します。

df<-data.frame(x=c(1,0,1,1,0,1,1,1,1,0,1,0,1,1,1,0,0)) 
rledf<-rle(df$x) 
#Run Length Encoding 
# lengths: int [1:10] 1 1 2 1 4 1 1 1 3 2 
# values : num [1:10] 1 0 1 0 1 0 1 0 1 0 

umを使用すると、ベクトルの位置が得られます。

position<-cumsum(rledf$length) 

開始indiceは長さ> = 3と値のみの値を取得する位置ベクトルをサブセット化によって発見された= 1

starting_indice<-position[rledf$values==1&rledf$length>=3]-3 

Answer 3

私はこの問題は、あなたのif statementであると信じています。 Is.Previous.Upの列が真で、Is.Previous.Up列の前の観測が真で、それ以前の観測が真の場合は、カウンタに1を加算すると効果的です。 if statementに対処する特定の行は指定しないでください。ここで

は、私はそれを書かれているだろうかです：

runs.counter<-0 
stop.counter<-0 
for (i in 1:nrow(dataset)){ 
    if(dataset[i,"PrevUp"]==1&& 
    dataset[i-1,"PrevUp"]==1&& 
    dataset[i-2,"PrevUp"]==1&& 
    stop.counter==0){ 
     runs.counter<-runs.counter+1 
     stop.counter<-1 
    }else if(dataset[i,"PrevUp"]==0){ 
     stop.counter<-0 
    } 
}