I am stuck with the following code.
For reference the code it is taken from the following website (http://gekkoquant.com/2013/01/21/statistical-arbitrage-trading-a-cointegrated-pair/), I am also compiling the code through R Studio.
library("quantmod")
startDate = as.Date("2013-01-01")
symbolLst<-c("WPL.AX","BHP.AX")
symbolData <- new.env()
getSymbols(symbolLst, env = symbolData, src = "yahoo", from = startDate)
stockPair <- list(
a =coredata(Cl(eval(parse(text=paste("symbolData$\"",symbolLst[1],"\"",sep="")))))
,b = coredata(Cl(eval(parse(text=paste("symbolData$\"",symbolLst[2],"\"",sep="")))))
,hedgeRatio = 0.70 ,name=title)
spread <- stockPair$a - stockPair$hedgeRatio*stockPair$b
I am getting the following error.
Error in stockPair$a - stockPair$hedgeRatio * stockPair$b :
non-conformable arrays
The reason these particular series don't match is because "WPL.AX" has an extra value (date:19-05-2014 - the matrix lengths are different) compared to "BHP". How can I solve this issue when loading data?
I have also tested other stock pairs such as "ANZ","WBC" with the source = "google" which produces two of the same length arrays.
> length(stockPair$a)
[1] 360
> length(stockPair$b)
[1] 359
Add code such as this prior to the stockPair computation, to trim each xts set to the intersection of dates:
common_dates <- as.Date(Reduce(intersect, eapply(symbolData, index)))
symbolData <- eapply(symbolData, `[`, i=common_dates)