将 zoo 转换为 dataframe 后添加带有 Ticker 的列

Question

我试图在将 xts 转换为数据框后添加一列，因为 xts 只能包含数值。另外我想按行绑定它们作为最终结果，但我失败了并且没有找到解决方案。这是我的代码，是从 Whosebug 上的不同作者那里收集的。多亏了！

library(quantmod)

# Fetch all Symbols from AMEX
symbols <- stockSymbols(exchange = c("AMEX"))  
symbols <- symbols[,1]  

# define environment
data <- new.env()

# Load Stock data in environment
getSymbols(symbols,from="2016-01-01", env=data)

# build function to convert zoo to dataframe
zoo.to.data.frame <- function(x, index.name="Date") {
     stopifnot(is.zoo(x))
     xn <- if(is.null(dim(x))) deparse(substitute(x)) else colnames(x)
     setNames(data.frame(index(x), x, row.names=NULL), c(index.name,xn))
}

# build function to calculate different signals (...only price and ADX in this example)
"SignalCalculator" <- function(x) {
      # Adjusted Price
       price <- x[,c(6)]

      # ADX
      adx <- ADX(x[,c("High","Low","Close")], n =14)
      DIp <- adx$DIp
      DIn <- adx$DIn
      Adx <- adx$ADX

      # bind single values together and convert to dataframe
      result  <- zoo.to.data.frame(cbind(price, DIp, DIn, Adx))
      # the following is not working respectively I don´t know how to
      # result2 <- cbind(result, Ticker = x) 
}

# Loop function on data #
lapply(data,FUN = SignalCalculator)

将函数应用到所有代码后，我想做的是生成一个带有行绑定的巨大数据框，将所有代码都放在里面以将它们导出到 csv 文件。这应该如下所示。但对我来说不清楚如何将它们绑定在一起？感谢有关此主题的任何帮助。谢谢

Table with stock data

Answer 1

下面的

out2 是您提供的 link 中的 table 的格式。您可以使用 xts 中的辅助函数，例如 HLC 和 Ad，它们比对您的列选择进行硬编码更灵活，而且您不需要这样做 zoo.to.data.frame 东西。

# define environment
data <- new.env()

# Load Stock data in environment
getSymbols(symbols,from="2016-01-01", env=data)

SignalCalculator2 <- function(x) {
    # Assumes first colname format is still [tickername].Open
    tickername <- strsplit(colnames(x)[1], "\.")[[1]][1]
    # Adjusted Price:
    price <- Ad(x)
    colnames(price) <- "Price"
    adx <- ADX(HLC(x), n = 14)
    # You dont want this column in your table:
    adx$DX <- NULL
    res <- merge(price, adx)
    # res is an xts object.  Now convert to data.frame
    df_res <- data.frame("Date" = index(res), "Ticker" = tickername, coredata(res))
    df_res
}

# data is an environment, not a list, so can use eapply (similar to lapply):
out <- eapply(env = data, FUN = SignalCalculator2)
out2 <- do.call(rbind, out)
# If you want to order rows by date:
out2 <- out2[order(out2$Date),]
# Optional tidy up:
rownames(out2) <- NULL


> tail(out2)
# Date Ticker Price      DIp      DIn      ADX
# 164 2016-08-25   AAMC 12.72 17.67766 21.28021 11.31483
# 330 2016-08-25    AAU  1.42 22.36896 23.64023 30.50243
# 165 2016-08-26   AAMC 12.80 16.48608 21.07136 11.37868
# 331 2016-08-26    AAU  1.36 23.02102 21.80518 28.51742
# 166 2016-08-29   AAMC 13.15 15.75814 20.14096 11.43797
# 332 2016-08-29    AAU  1.43 21.63012 22.30030 26.58943

将 zoo 转换为 dataframe 后添加带有 Ticker 的列

Add a column with Ticker after converting zoo to dataframe

r

lapply

dataframe

xts

quantmod