我有一系列信号，我可以在其中查找序列的开头，这将是+1中的第一个signal column。当找到first +1时，就要记住Open Price。然后循环直到它在序列中找到last +1，否则它将保存Close Price。一旦获得两个价格：计算出两者之间的差异。 (Close value - Open Value) / Open value。继续循环直到下一个+1
示例数据/输出如下：
df <- data.frame(df,output=0)
Open Close signal output
1 1469.25 1455.17 0 0.000000000
2 1455.22 1399.42 0 0.000000000
3 1399.42 1402.11 1 0.000000000
4 1402.11 1403.45 1 0.002879700
5 1403.45 1441.47 0 0.000000000
6 1441.47 1457.60 0 0.000000000
7 1457.60 1438.56 0 0.000000000
8 1438.56 1432.04 0 0.000000000
9 1432.25 1449.68 0 0.000000000
10 1449.68 1465.15 0 0.000000000
11 1465.15 1455.14 0 0.000000000
12 1455.14 1455.90 0 0.000000000
13 1455.90 1445.57 0 0.000000000
14 1445.57 1441.36 0 0.000000000
15 1441.36 1401.68 0 0.000000000
16 1401.53 1410.03 1 0.000000000
17 1410.03 1404.09 1 0.001826532
18 1404.09 1398.56 0 0.000000000
19 1398.56 1360.15 0 0.000000000
20 1360.16 1394.46 1 0.000000000
21 1394.46 1409.28 1 0.036113398
22 1409.28 1409.12 0 0.000000000
23 1409.12 1424.97 0 0.000000000
24 1424.97 1424.37 0 0.000000000
25 1424.37 1424.24 0 0.000000000
26 1424.24 1441.75 0 0.000000000
27 1441.72 1411.71 0 0.000000000
28 1411.70 1416.84 0 0.000000000
29 1416.83 1387.11 0 0.000000000
30 1387.12 1389.94 0 0.000000000
31 1389.94 1402.05 0 0.000000000
32 1402.05 1387.67 0 0.000000000
33 1387.67 1388.25 1 0.000000000
34 1388.26 1346.09 1 0.000000000
35 1346.09 1352.23 1 0.000000000
36 1352.17 1360.69 1 0.000000000
37 1360.69 1353.43 1 0.000000000
38 1353.43 1333.36 1 0.000000000
39 1333.36 1348.05 1 -0.028551449
40 1348.05 1366.42 0 0.000000000
41 1366.42 1379.23 0 0.000000000
以第33至39行为例： 它在第33行找到+1 它节省了开放价格以便以后使用 循环直到第39行的最后+1。 然后它保存了收盘价。 现在我们有两个价格。我们可以执行两者之间的％差异。 继续循环直到下一个+1信号
这是我的屠杀尝试：
state <- "off"
for (i in 1:nrow(df)) { # loop through data
if (state == "off") { # off state, loop does nothing until signal = 1
if (df$signal[i] == 0) {
next
} else {
open_price <- df$Open[i] # save open price for % calculation
state <- "on" # change state to "on"
}
} else if (state == "on") {
if (df$signal[i] > 0) { # Find last +1
close_price <- df$Close[i] # save close price for % calculation
output <- (close_price - open_price)/ open_price # perform % calculation
state <- "off"
}
}
}
想法是打开/关闭状态..在+ 1期间打开，查找开始/结束值。 ％diff计算，关闭余数
答案 0 :(得分：1)
以下是使用dplyr包中的rleid包和data.table函数的函数的解决方案。 dt2是最终输出。
# Load packages
library(dplyr)
# Process the data
dt2 <- dt %>%
mutate(RunID = data.table::rleid(signal)) %>%
group_by(RunID) %>%
mutate(output = ifelse(signal == 0, 0,
ifelse(row_number() == n(),
(last(Close) - first(Open))/first(Open), 0))) %>%
ungroup() %>%
select(-RunID)
dt <- structure(list(Open = c(1469.25, 1455.22, 1399.42, 1402.11, 1403.45,
1441.47, 1457.6, 1438.56, 1432.25, 1449.68, 1465.15, 1455.14,
1455.9, 1445.57, 1441.36, 1401.53, 1410.03, 1404.09, 1398.56,
1360.16, 1394.46, 1409.28, 1409.12, 1424.97, 1424.37, 1424.24,
1441.72, 1411.7, 1416.83, 1387.12, 1389.94, 1402.05, 1387.67,
1388.26, 1346.09, 1352.17, 1360.69, 1353.43, 1333.36, 1348.05,
1366.42), Close = c(1455.17, 1399.42, 1402.11, 1403.45, 1441.47,
1457.6, 1438.56, 1432.04, 1449.68, 1465.15, 1455.14, 1455.9,
1445.57, 1441.36, 1401.68, 1410.03, 1404.09, 1398.56, 1360.15,
1394.46, 1409.28, 1409.12, 1424.97, 1424.37, 1424.24, 1441.75,
1411.71, 1416.84, 1387.11, 1389.94, 1402.05, 1387.67, 1388.25,
1346.09, 1352.23, 1360.69, 1353.43, 1333.36, 1348.05, 1366.42,
1379.23), signal = c(0L, 0L, 1L, 1L, 0L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 1L, 1L, 0L, 0L, 1L, 1L, 0L, 0L, 0L, 0L, 0L,
0L, 0L, 0L, 0L, 0L, 0L, 1L, 1L, 1L, 1L, 1L, 1L, 1L, 0L, 0L)), .Names = c("Open",
"Close", "signal"), row.names = c("1", "2", "3", "4", "5", "6",
"7", "8", "9", "10", "11", "12", "13", "14", "15", "16", "17",
"18", "19", "20", "21", "22", "23", "24", "25", "26", "27", "28",
"29", "30", "31", "32", "33", "34", "35", "36", "37", "38", "39",
"40", "41"), class = "data.frame")