CODEWITHSUNDEEP
rxtszoo
scrps93
scrps93

Reputation: 313

Convert daily date vector to weeks in R

I'm an R newbie, and I was wondering how to convert a daily data vector to a weekly one. My code is as follows:

library("quantmod")
library("xts")
library("zoo")
library(corrplot)

stock.data <- read.csv2("stocks.csv", sep = ";")
dates <- as.Date(stock.data[,"Date"], format = "%d/%m/%Y")

So far, dates is a vector with daily data information, and stock.data is as follows:

       Date       SPMILA       COLCAP     SPBLPGPT
   1 2/01/2008 -0.002964527 -0.005017742 -0.011225818
   2 3/01/2008  0.002456592 -0.002821731  0.017459207
   3 4/01/2008 -0.019060974 -0.002886772 -0.002871815
   4 7/01/2008 -0.010540054            0 -0.007413185

I try to convert my data to weekly as follows:

dates = to.weekly(dates, OHLC = FALSE)

but I get the error: Error in period.apply(x, ep, FUN, ...) : argument "FUN" is missing, with no default

I also tried to convert my stock.data to weekly and see if I could then obtain the dates that way:

stock.data <- to.weekly(stock.data, OHLC = FALSE)

but then I get the error Error in try.xts(x) : Error in as.POSIXlt.character(x, tz, ...) : character string is not in a standard unambiguous format

I would appreciate any pointers since I'm not sure what to try next.

Upvotes: 1

Views: 267

Answers (2)

Darren Cook
Darren Cook

Reputation: 28913

I made the /tmp/stocks.csv shown at the end. The trick was to use read.zoo, which to.weekly() can then work with:

z = read.zoo("/tmp/stocks.csv", format="%d/%m/%Y", sep=';', header=TRUE)
to.weekly(z, OHLC=FALSE)

Which gives:

                SPMILA       COLCAP     SPBLPGPT
2008-01-04 -0.01906097 -0.002886772 -0.002871815
2008-01-07 -0.01054005  0.000000000 -0.007413185

stocks.csv:

Date;SPMILA;COLCAP;SPBLPGPT
2/01/2008;-0.002964527;-0.005017742;-0.011225818
3/01/2008;0.002456592;-0.002821731;0.017459207
4/01/2008;-0.019060974;-0.002886772;-0.002871815
7/01/2008;-0.010540054;0;-0.007413185

Upvotes: 1

MikeF
MikeF

Reputation: 1008

First error I cannot help with, but the second error is telling you r cannot interpret the date format. R does not know if you are using DD/MM/YYYY or MM/DD/YYYY.

use ?to.period to see the help, it is expecting Open, Low, High, Close data.

Converting the dates in your example to weekly will do nothing, as they are a month apart.

try

library("lubridate")
library(xts)
stringdates = c("2/1/2008", "3/1/2008", "4/1/2008")
dates <- mdy(stringdates)
values <- c(1:3)
xtsfr <- xts( values, mdy(stringdates))
xtsfr

             [,1] 
2008-02-01    1 
2008-03-01    2 
2008-04-01    3

to.weekly(xtsfr)
           xtsfr.Open xtsfr.High xtsfr.Low xtsfr.Close
2008-02-01          1          1         1           1
2008-03-01          2          2         2           2
2008-04-01          3          3         3           3

to.yearly(xtsfr)
           xtsfr.Open xtsfr.High xtsfr.Low xtsfr.Close
2008-04-01          1          3         1           3

I hope this is enough to help you. If not I more help understanding your issue.

Upvotes: 0

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