I lost ideas (with my limited R knowledge) how to tackle following "problem" in a performant (vectorized) way.
I would like to determine days when SPX closed up 3 or more days in a row and, at the same time, is not coming from a 50-day low. I programmed this for fixed look back for three days but do not know how to make it dynamic. Here is the code:
require(quantmod)
getSymbols(c("^GSPC"), adjust=TRUE, from="1990-01-01")
assign("SPX", GSPC, envir=.GlobalEnv)
names(SPX) <- c("SPX.Open", "SPX.High", "SPX.Low", "SPX.Close", "SPX.Volume", "SPX.Adjusted")
SPX.ClCl.positive <- ifelse(ClCl(SPX) > 0, 1, 0)
SPX.ClCl.positive[is.na(SPX.ClCl.positive)] <- 0
numDaysPositive <- cumsum(SPX.ClCl.positive) - cummax(cumsum(SPX.ClCl.positive)* (!SPX.ClCl.positive))
numDaysPositiveGreaterThan3 <- ifelse(numDaysPositive >= 3, 1, 0)
SPX.Lo.gt.50day.low <- ifelse(lag.xts(Lo(SPX), k=3) <= runMin(Lo(SPX), n=50), 1, 0)
What I would like be able to do is something like this:
SPX.Lo.gt.50day.low <- ifelse(lag.xts(Lo(SPX), k=numDaysPositive) <= runMin(Lo(SPX), n=50), 1, 0)
EDIT START
I would like to see, if we are up on SPX more than three days in a row (3, 4, 5,...) (kept in variable numDaysPositive) whether this rise came from 50-day low. I would like to look back 3, 4, 5,... days to see if on that particular date (3, 4, 5,...) days ago SPX made a 50-day low. The "logic" or assumption is, that for rallies from 50-day lows being up 3 or more days in a row is not uncommon, but, if we are up 3, 4, 5, ... days in a row and it did not start out of a 50-day low, then, this might be worth considering as one of the "evidences" market may stop or even drop for a while.
For now I am using lag.xts with k=3 in last ifelse but would like to use k=numDaysPositive (dynamic).
EDIT END
So, I would like that k in lag is dynamic based on value in numDaysPositive. I am sure this is easy if only one can see how... I am looking at this for the whole day now and nothing comes to mind.
The code below will allow you to see which series of cumulative up days began on (or near) a 50-day low.
# load quantmod and pull dada
library(quantmod)
SPX <- getSymbols("^GSPC", from="1990-01-01", auto.assign=FALSE)
names(SPX) <- gsub("GSPC","SPX",names(SPX))
# up (TRUE) and down (FALSE) days
b <- c(FALSE, ClCl(SPX)[-1] > 0)
# run length of each stretch of up/down days
x <- rle(as.vector(b))
# use rle results to create a vector of zeros (down days) and n
# where n is the number of consecutive up days
y <- unlist(lapply(seq_along(x$value), function(i)
rep(if(x$value[i]) x$lengths[i] else 0,x$lengths[i])))
# 50-day low
z <- runMin(Lo(SPX), 50) == Lo(SPX)
# convert results to xts
y <- xts(y, index(SPX))
z <- xts(z, index(SPX))
# look at results
tail(merge(SPX,cumUpDays=y,z),50)