我有一个数据框已重塑为以下格式:
>library(PerformanceAnalytics)
>library(timeSeries)
>head(sapply(tseries, class))
$prhr
[1] "POSIXct" "POSIXt"
$wind
[1] "numeric"
$AEC
[1] "numeric"
$AECI
[1] "numeric"
$ALTW
[1] "numeric"
$AMRN
[1] "numeric"
> head(tseries)
prhr wind AEC AECI ALTW AMRN BBA BCA BLKW BRAZ BUBA BUFFALO_DUNES_WIND
1 2019-10-02 01:00:00 9738 2.939796 4.633800 -1.687404 -1.687404 -1.687404 -1.687404 -80.99390 -1.687404 -1.687404 -73.14030
2 2019-10-02 02:00:00 9971 6.154412 7.471112 -5.705150 -5.705150 -5.705150 -5.705150 -74.04989 -5.705150 -5.705150 -71.19274
3 2019-10-02 03:00:00 9490 2.248296 2.748600 -6.451404 -6.451404 -6.451404 -6.451404 -79.88890 -6.451404 -6.451404 -71.97920
4 2019-10-02 04:00:00 9409 0.098604 0.803304 -5.192604 -5.192604 -5.192604 -5.192604 -82.37130 -5.192604 -5.192604 -69.78970
5 2019-10-02 05:00:00 9342 -2.082600 -1.396896 -6.031800 -6.031800 -6.031800 -6.031800 -79.91960 -6.031800 -6.031800 -67.88330
6 2019-10-02 06:00:00 8844 2.253204 4.024800 -3.826596 -3.826596 -3.826596 -3.826596 -91.23570 -3.826596 -3.826596 -74.39740
“ prhr”列是以小时为单位的时间戳。数字列是该小时位置(AEC,AECI,ALTW等)的PnL。我想计算这些位置中的每个位置的压降。
我正在尝试使用Performance Analytics软件包进行计算。我曾尝试使用xts和zoo,但仍然收到错误“ drawdowns(x)中的错误:is.timeSeries(x)不正确”
我是R的新人。