CODEWITHSUNDEEP
rquantmod
cJc
cJc

Reputation: 863

more on getSymbols downloading data for multiple symbols and calculate monthly returns

Ref made to this post Similar question

I'm downloading a series of symbols and I need to calculate monthly returns for the adjusted close and I just can't seem to get it working. The earlier post I have ref to deal with the issue using ROC @Joshua Ulrich, but this is for daily returns. The other examples uses 'close', which is no good for me.

My starting point:

library('quantmod')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
         "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")
#The following gives me what I need, but using Close instead of Adjusted
stocks_ret <- lapply(tickers, function(sym) monthlyReturn(type = 'log',(na.omit(getSymbols(sym, from='2013-01-01, auto.assign=FALSE)))))

Joshua Ulrich solution (works great, but I got no idea how to turn it into monthly returns):

# create environment to load data into
Data <- new.env()
getSymbols(c("^GSPC",Symbols), from="2007-01-01", env=Data)
# calculate returns, merge, and create data.frame (eapply loops over all
# objects in an environment, applies a function, and returns a list)
Returns <- eapply(Data, function(s) ROC(Ad(s), type="discrete"))
ReturnsDF <- as.data.frame(do.call(merge, Returns))
#adjust column names are re-order columns
colnames(ReturnsDF) <- gsub(".Adjusted","",colnames(ReturnsDF))
ReturnsDF <- ReturnsDF[,c("GSPC",Symbols)]

Then I tried:

Returns <- eapply(Data, function(s) ROC(Ad(s)[endpoints(tickers, on = 'months'),], type="discrete"))

The latter gives me an error message: " Error in try.xts(x, error = "must be either xts-coercible or timeBased")"

However, I cant find a solution to how I can calculate on MONTHLY basis instead og daily.. 'n=21' does not solve the issue..

Anyone??

Upvotes: 0

Views: 1128

Answers (1)

New_code
New_code

Reputation: 614

Chris, this is one way for solving your question

library('quantmod')
library('dplyr')
tickers <- c("XOM","MSFT","JNJ","GE","CVX","WFC","PG","JPM","VZ","PFE",
             "T","IBM","MRK","BAC","DIS","ORCL","PM","INTC","SLB")

Stock_Data <- tickers %>% lapply(function(x) getSymbols(x,auto.assign=FALSE)) %>%
  lapply(function(x) monthlyReturn(Ad(x)))

Upvotes: 2

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