R code - Use of periodReturn function (quantmod package)

Question

Dear Stack overflow community, I am trying to compute the returns of an asset using periodReturn's quantmod functions:

HLCtest is a "High Low Close" object, head(HLCtest) gives:

##       Date          High     low     Close
##1  1991-01-01 GMT  1517.93  1517.93  1517.93   
##2  1991-01-02 GMT  1509.58  1487.96  1505.10
##3  1991-01-03 GMT  1540.22  1500.54  1539.50
##4  1991-01-04 GMT  1552.15  1533.77  1547.66
##5  1991-01-07 GMT  1524.38  1501.26  1507.87
##6  1991-01-08 GMT  1507.37  1474.79  1500.24

> yearlyReturn(HLCtest, subset=NULL, type='arithmetic', leading=TRUE)

I get the following error message:

> Error in try.xts(x) : 
  Error in as.POSIXlt.character(x, tz, ...) :   character string is not in a    standard unambiguous format

I used:

> strftime(HLCtest$Date, format ="", tz="GMT", usetz = TRUE)

to make sure the date format was ISO8601 standard.

and also: > is.HLC(HLCtest) to make sure the object was "High Low Close" object.

Could someone please tell me what is this error message telling me and how to fix it?

OK, that's not enough - can you show a reproducible example, incl. getting the data? Im guessing you're either downloading the data via getSymbols or you need to dput the data (at least first few rows. — rbm
That won't help. Update question with dput output of first 5 rows of HLCtest — rbm
Please see the modification beneath. I get the data trough a .csv file and I'am afraid I can't use dput() for it returns a huge amount of data in the Console and I can't even see the command typed and the beginning of the results.. — JoeBadAss

Joshua Ulrich Joshua Ulrich · Accepted Answer · 2017-03-10T13:22:33

yearlyReturn doesn't know how to convert your data.frame to an xts object. This is because it uses try.xts to attempt to convert it to an xts object, and try.xts expects the data.frame row names to contain the dates.

The easiest solution is to create an xts object yourself, and then pass that to yearlyReturn.

# sample data
y <- structure(list(Date = structure(c(7670, 7671, 7672, 7673, 7676, 
7677), class = "Date"), High = c(1517.93, 1509.58, 1540.22, 1552.15, 
1524.38, 1507.37), low = c(1517.93, 1487.96, 1500.54, 1533.77, 
1501.26, 1474.79), Close = c(1517.93, 1505.1, 1539.5, 1547.66, 
1507.87, 1500.24)), .Names = c("Date", "High", "low", "Close"),
row.names = c(NA, -6L), class = "data.frame")
# make xts object
x <- xts(y[,-1], y[,1])
# call *lyReturn
dailyReturn(x)
#            daily.returns
# 1991-01-01   0.000000000
# 1991-01-02  -0.005500912
# 1991-01-03   0.020297036
# 1991-01-04   0.007745647
# 1991-01-07  -0.017891312
# 1991-01-08  -0.011158635

R code - Use of periodReturn function (quantmod package)

1 Answers