CODEWITHSUNDEEP
rxts
MichiZH
MichiZH

Reputation: 5807

R: Currently unsupported data type when using period.apply

First a reproducible example:

library(quantstrat)

getSymbols("AAPL")

Test<-period.apply(AAPL,endpoints(AAPL,on="weeks",k=10),ROC)
TestDF<-as.data.frame(Test)

I want to get the ROC for a certain stock or whatever for x weeks. Or in other words, I want to compare several stocks and rank them with their 10-week ROC, 20 week ROC etc. Obviously the period apply works, however when I want to convert it to a data Frame and look at my data I always get this error:

Error in coredata.xts(x) : currently unsupported data type

Any idea whats wrong?

Upvotes: 1

Views: 919

Answers (1)

Joshua Ulrich
Joshua Ulrich

Reputation: 176648

period.apply requires a function that returns a single row. ROC does not return a single row. So define your own function to do that.

Test <- period.apply(AAPL, endpoints(AAPL,on="weeks",k=10),
  function(x) log(last(x)/coredata(first(x))))

Upvotes: 3

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