贸易分类的刻度测试

Question

正在写硕士论文，我下载了交易数据：

  >head(Data1)
  PRICE PREVIOUS
1 100   99
2 98    100
3 100   98
4 100   100
5 100   100
6 101   100

目标是添加一个列，指示交易是由买方 ("buy") 还是卖方 ("sell") 发起的。规则如下：

价格 < 上一个 => 卖出
价格 > 上一个 => 购买
价格 == 上一个 => 先前分类

它应该是这样的

      >head(Data1)
     PRICE PREVIOUS TICK
    1 100   99       Buy
    2 98    100      Sell
    3 100   98       Buy
    4 100   100      Buy
    5 100   100      Buy
    6 101   100      Buy

我写了下面的代码：

Data1$TICK <- ifelse(Data1$PRICE == Data1$PREVIOUS, yes = shift(Data1[ ,3]), no = ifelse(Data1$PRICE>Data1$PREVIOUS, yes= "Buy", no = "Sell"))

但是，当我尝试执行代码时收到警告：

Error in [.data.frame(Data1, , 3)` : undefined columns selected

因此我有两个问题：

此代码是否能够提供我想要的结果？
错误消息指的是什么？

Answer 1

library(tidyverse)
dat%>%
  mutate(m = sign(PRICE-PREVIOUS),
         m=replace(m,m == 0,NA))%>%
  fill(m)%>%
  mutate(m = if_else(m==1,"Buy","Sale"))
  PRICE PREVIOUS    m
1   100       99  Buy
2    98      100 Sale
3   100       98  Buy
4   100      100  Buy
5   100      100  Buy
6   101      100  Buy

Answer 2

这里有一个简单的方法，只使用 base。

data1 <- data.frame(PRICE = c(100,98,100,100,100,101), PREVIOUS = c(99,100,98,100,100,100))

tk <- c("Sell", NA, "Buy")[sign(data1$PRICE-data1$PREVIOUS)+2]
for(i in 2:length(tk)) if (is.na(tk[i])) tk[i] <- tk[i-1]

data1$TICK <- tk
print(data1)

#   PRICE PREVIOUS TICK
# 1   100       99  Buy
# 2    98      100 Sell
# 3   100       98  Buy
# 4   100      100  Buy
# 5   100      100  Buy
# 6   101      100  Buy

如果你觉得更直观，你可以：

tk <- c("Sell", "Prior", "Buy")[sign(data1$PRICE-data1$PREVIOUS)+2]
for(i in 2:length(tk)) if (tk[i] == "Prior") tk[i] <- tk[i-1]

贸易分类的刻度测试

Tick test for trade classification

r

if-statement

trading