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rquantmod

Finding the second highest value in quantmod by time period


I am trying to find the maximal and the second largest value during a 6 months interval. I am using runMax to find the first value but I can't figure out how to do for the second one. Here's my code so far:

    library(quantmod)
    library(TTR)
    getSymbols("GOOGL")
    GOOGL_mo<-to.monthly(GOOGL)#to get monthly data
    GOOGL_mo$Max_6mo<-runMax(GOOGL.High, 6)#add a column with the max value during a 6 months period

I would like to add another column with the second largest value to have something like this:

Date        Open      High     Low        Close     Volume   Max6mo  2ndMax6m0
Oct 2016    802.55    839.00   796.23     809.90    35391730 839.00  819.06
Nov 2016    810.87    816.04   743.59     775.88    48353316 839.00  819.06
Dec 2016    778.55    824.30   753.36     792.45    34356689 839.00  824.00
Jan 2017    800.62    867.00   796.89     820.19    36840255 867.00  839.00
Feb 2017    824.00    853.79   812.05     844.93    26492197 867.00  853.79
Mar 2017    851.38    874.42   824.30     847.80    34553208 874.42  867.00
Apr 2017    848.75    935.90   834.60     924.52    28721553 935.90  874.42
May 2017    924.15    965.90   920.80     942.17    21302485 965.90  935.90

Any idea?


Solution

  • library(quantmod)
    library(TTR)
    getSymbols("GOOG",src="google")
    GOOG <- to.monthly(GOOG)
    
    thing <- data.frame(max1 = rep(NA, 5), max2 = rep(NA, 5))
    for (x in 1:(nrow(GOOG)-5)) {
      max1 <- max(GOOG[x:(x+5), "GOOG.High"])
      max2 <- max(GOOG$GOOG.High[x:(x+5)][GOOG$GOOG.High[x:(x+5)] != max1])
      thing <- rbind(thing, data.frame(max1, max2))
    }
    GOOG <- cbind(data.frame(GOOG), thing)