CODEWITHSUNDEEP
rif-statementdplyrsummarize
cgibbs_10
cgibbs_10

Reputation: 177

Summarize dataframe with a constraint using Dplyr

I have a dataframe similar to the one below:

data <- data.frame(x = c("0", "2", "8", "1", "7", "10", "15", "14", "13", "11"),
                   y = c("11", "5", "14", "9", "13", "7", "4", "0", "12", "8"),
                   act_x = c("Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy"),
                   act_y = c("Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short"))

I wish to create a profits column for x and a profits column for y based on the action taken for x and y. The result should look something like this:

res <- data.frame(data,
                  prof_x = c(NA, -2, 6, 7, 6, -3, 5, 1, -1, 2),
                  prof_y = c(NA, -6, -9, -5, -4, -6, 3, -4, -12, -4))

For example, starting at day 0 (the first line), I short x and buy y. The corresponding prices move and settle at day 1 (the second line). The profit of x is 0-2=-2 (since I shorted x) and the profit for y is 5-11=-6 (since I bought y). And so on...

Is there a friendly way to implement this in the Dplyr pipe? Does anyone have any suggestions outside of the pipe? Thanks in advance for any guidance.

Upvotes: 1

Views: 81

Answers (1)

MKR
MKR

Reputation: 20095

A dplyr based solution using lag and mutate can be achieved as:

library(dplyr)
data %>% mutate(x = as.numeric(x), y = as.numeric(y)) %>%
  mutate(prof_x = ifelse(act_x == "Buy", lag(x)-x, x-lag(x))) %>%
  mutate(prof_y = ifelse(act_y == "Buy", lag(y)-y, y-lag(y)))
# 
# x  y act_x act_y prof_x prof_y
# 1   0 11 Short   Buy     NA     NA
# 2   2  5   Buy Short     -2     -6
# 3   8 14 Short   Buy      6     -9
# 4   1  9   Buy Short      7     -5
# 5   7 13 Short   Buy      6     -4
# 6  10  7   Buy Short     -3     -6
# 7  15  4 Short   Buy      5      3
# 8  14  0   Buy Short      1     -4
# 9  13 12 Short   Buy     -1    -12
# 10 11  8   Buy Short      2     -4

Data:

data <- data.frame(x = c("0", "2", "8", "1", "7", "10", "15", "14", "13", "11"),
        y = c("11", "5", "14", "9", "13", "7", "4", "0", "12", "8"),
        act_x = c("Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy"),
        act_y = c("Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short", "Buy", "Short"),
        stringsAsFactors = FALSE)

Upvotes: 2

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