Re: [R] Avoiding a loop

From: Juan Carlos Borrás <jcborras_at_gmail.com>
Date: Fri, 08 Apr 2011 09:11:13 +0300

#Use the indexes of S in a sapply function.

N <- 10
S <- sample(c(0,1), size=N, replace=TRUE)
v1 <- sapply(c(1:N-1), function(i) S[i]&&S[i+1])

# Then
v2 <- (P > m)

# And I guess you can fill up the rest. Beware of the boundary condition (the NA in v1)

Cheers,
jcb!



http://twitter.com/jcborras

On Fri, Apr 8, 2011 at 5:30 AM, Worik R <worikr_at_gmail.com> wrote:
> Friends.
>
> I cannot simplify this much, and I think the loop is unavoidable.  As a
> recovering C programmer I want to avoid loops and in cases like this I
> almost allways can by using an apply function.  But I suspect in this case
> there is nothing I can do.
>
> It is a finance example where a price series is compared to a moving
> average.  If the price goes above the average, plus a bit, buy the
> security.  If we are holding the security and the price dips below the
> moving average sell it.
>
> P is the series of prices
>
> m is the moving average series
>
> S <- P>(m*1.005)
> S[S]<-1
>
> Now S is my signal it is 1 when P > m plus a margin of 0.005 x m
>
> But now I need to control when S goes from 1 to 0.  As far as I can tell
> this is the only way...
>
> for(i in 2:length(S)){
>  if(S[i]==0 && S[i-1] == 1){
>    ## Was long, now short.  SHould I be short?  Is P>m still?
>    if(P[i] > m[i]){
>      ## Stay long
>      S[i] <- 1
>    }
>  }
> }
>
> As I mentioned I am a recovering C programmer, so I have a buit in loop
> reflex, but I am struggling to adapt.  But this one has me beat!  Can anyone
> help?
>
> cheers
> W
>
>        [[alternative HTML version deleted]]
>
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>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri 08 Apr 2011 - 06:13:47 GMT

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