I am trying to run the code in a tutorial by rbresearch titled 'Low Volatility with R', however when trying to run the cbind function the time series seems to get totally misaligned.
Here's the data-preparation section that works perfectly:
require(quantmod)
symbols = c("XLY", "XLP", "XLE", "XLF", "XLV", "XLI", "XLK", "XLB", "XLU")
getSymbols(symbols, index.class=c("POSIXt","POSIXct"), from='2000-01-01')
for(symbol in symbols) {
x<-get(symbol)
x<-to.monthly(x,indexAt='lastof',drop.time=TRUE)
indexFormat(x)<-'%Y-%m-%d'
colnames(x)<-gsub("x",symbol,colnames(x))
assign(symbol,x)
}
for(symbol in symbols) {
x <- get(symbol)
x1 <- ROC(Ad(x), n=1, type="continuous", na.pad=TRUE)
colnames(x1) <- "ROC"
colnames(x1) <- paste("x",colnames(x1), sep =".")
#x2 is the 12 period standard deviation of the 1 month return
x2 <- runSD(x1, n=12)
colnames(x2) <- "RANK"
colnames(x2) <- paste("x",colnames(x2), sep =".")
x <- cbind(x,x2)
colnames(x)<-gsub("x",symbol,colnames(x))
assign(symbol,x)
}
rank.factors <- cbind(XLB$XLB.RANK, XLE$XLE.RANK, XLF$XLF.RANK, XLI$XLI.RANK,
XLK$XLK.RANK, XLP$XLP.RANK, XLU$XLU.RANK, XLV$XLV.RANK, XLY$XLY.RANK)
r <- as.xts(t(apply(rank.factors, 1, rank)))
for (symbol in symbols){
x <- get(symbol)
x <- x[,1:6]
assign(symbol,x)
}
To illustrate that the XLE ETF data data is aligned with the XLE Ranked data:
> head(XLE)
XLE.Open XLE.High XLE.Low XLE.Close XLE.Vodalume XLE.Adjusted
2000-01-31 27.31 29.47 25.87 27.31 5903600 22.46
2000-02-29 27.31 27.61 24.62 26.16 4213000 21.51
2000-03-31 26.02 30.22 25.94 29.31 8607600 24.10
2000-04-30 29.50 30.16 27.52 28.87 5818900 23.74
2000-05-31 29.19 32.31 29.00 32.27 5148800 26.54
2000-06-30 32.16 32.50 30.09 30.34 4563100 25.07
> nrow(XLE)
[1] 163
> head(r$XLE.RANK)
XLE.RANK
2000-01-31 2
2000-02-29 2
2000-03-31 2
2000-04-30 2
2000-05-31 2
2000-06-30 2
nrow(r$XLE.RANK)
[1] 163
However after running the following cbind function, the xts object becomes totally misaligned:
> XLE <- cbind(XLE, r$XLE.RANK)
> head(XLE)
XLE.Open XLE.High XLE.Low XLE.Close XLE.Volume XLE.Adjusted XLE.RANK
2000-01-31 27.31 29.47 25.87 27.31 5903600 22.46 NA
2000-01-31 NA NA NA NA NA NA 2
2000-02-29 27.31 27.61 24.62 26.16 4213000 21.51 NA
2000-02-29 NA NA NA NA NA NA 2
2000-03-31 26.02 30.22 25.94 29.31 8607600 24.10 NA
2000-03-31 NA NA NA NA NA NA 2
> nrow(XLE)
[1] 326
Since running pre-existing code seldom works for me, I suspect there's something wrong with my R console, so here's my session information:
> sessionInfo()
R version 3.0.1 (2013-05-16)
Platform: x86_64-w64-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=English_Canada.1252 LC_CTYPE=English_Canada.1252 LC_MONETARY=English_Canada.1252 LC_NUMERIC=C
[5] LC_TIME=English_Canada.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] timeSeries_3010.97 timeDate_3010.98 quantstrat_0.7.8 foreach_1.4.1
[5] blotter_0.8.14 PerformanceAnalytics_1.1.0 FinancialInstrument_1.1.9 quantmod_0.4-0
[9] Defaults_1.1-1 TTR_0.22-0 xts_0.9-5 zoo_1.7-10
loaded via a namespace (and not attached):
[1] codetools_0.2-8 grid_3.0.1 iterators_1.0.6 lattice_0.20-15 tools_3.0.1
I'm completely unsure how to properly align the xts object without the NA and would greatly appreciate any help.
I don't see how anyone was not able to replicate your issue. The problem is this line:
r <- as.xts(t(apply(rank.factors, 1, rank)))
The first for loop converts the data to monthly and drops the time component of the index, which converts the index to a Date. This means that rank.factors has a Date index. But as.xts creates a POSIXct index by default, so r will have a POSIXct index.
cbind(XLE, r$XLE.RANK) is merging an xts object with a Date index with an xts object with a POSIXct index. The conversion from POSIXct to Date can be problematic if you're not very careful with timezone settings.
If you don't need the time component, it's best to avoid POSIXct and just use Date. Therefore, everything should work if you set dateFormat="Date" in your as.xts call.
R> r <- as.xts(t(apply(rank.factors, 1, rank)), dateFormat="Date")
R> XLE <- cbind(XLE, r$XLE.RANK)
R> head(XLE)
XLE.Open XLE.High XLE.Low XLE.Close XLE.Volume XLE.Adjusted XLE.RANK
2000-01-31 27.31 29.47 25.87 27.31 5903600 22.46 2
2000-02-29 27.31 27.61 24.62 26.16 4213000 21.51 2
2000-03-31 26.02 30.22 25.94 29.31 8607600 24.10 2
2000-04-30 29.50 30.16 27.52 28.87 5818900 23.74 2
2000-05-31 29.19 32.31 29.00 32.27 5148800 26.54 2
2000-06-30 32.16 32.50 30.09 30.34 4563100 25.07 2