Using xts with slightly different date structures

Question

I'm working on implementing a finance model in R. I'm using quantmod::getSymbols(), which is returning a xts object. I'm using both stock data from google (or yahoo) and economic/yield data from FRED. Right now I'm receiving errors for non-conformable arrays when attempting to do a comparison.

require(quantmod)
fiveYearsAgo = Sys.Date() - (365 * 5)
bondIndex <- getSymbols("LQD",src="google",from = fiveYearsAgo, auto.assign = FALSE)[,c(0,4)]

bondIndex$score <- 0

bondIndex$low <- runMin(bondIndex,365)
bondIndex$high <- runMax(bondIndex,365)

bondIndex$score <- ifelse(bondIndex > (bondIndex$low * 1.006), bondIndex$score + 1, bondIndex$score)
# Error in `>.default`(bondIndex, (bondIndex$low * 1.006)) : 
#   non-conformable arrays 
bondIndex$score <- ifelse(bondIndex < (bondIndex$high * .994), bondIndex$score - 1, bondIndex$score)
# Error in `<.default`(bondIndex, (bondIndex$high * 0.994)) : 
#   non-conformable arrays
print (bondIndex$score)

I added the following before the offending line:

print (length(bondIndex))
print (length(bondIndex$low))
print (length(bondIndex$high))

My results were 5024, 1256, and 1256. I want them to be same length where every day has the close, 52 week high, and 52 week low. I additionally want to add more data so the days also have a 50 day moving average. Further still, what really put an ax in my progress was implementing yield data from FRED. My theory is that stock and bond markets have different holidays, resulting in slightly different days with day. In this case, I'd like to na.spline() the missing data.

I know I'm going about this wrong way, what's the best way to do what I'm attempting? I want to have each row be a day, then have columns for close price, high, low, moving average, a few different yields for that day and finally a "score" that has a daily value based on the other data for that day.

Thanks for the help and let me know if you want or need more information.

jeremycg jeremycg · Accepted Answer · 2015-11-12T22:20:33

You need to tell your statement what variable you want. right now you are asking if bondIndex is greater or less than low or high. This doesn't make sense. Presumably you want bondIndex[,1] aka bondIndex$LQD.Close:

bondIndex$score <- ifelse(bondIndex[,1] > (bondIndex$low * 1.006), bondIndex$score + 1, bondIndex$score)
bondIndex$score <- ifelse(bondIndex[,1] < (bondIndex$high * .994), bondIndex$score - 1, bondIndex$score)

As a side note, Sys.Date() - (365 * 5) is not five years ago (hint, leap years). This will be a bug that might bite you down the line.

Using xts with slightly different date structures

1 Answers