Update post with solution from Joshua; first to set the ticket and download using quantmod and then to calculate the spike.
augen_spike<-function(x,n=20){
prchg<-diff(x)
lgchg<-diff(log(x))
stdevlgchg<-rollapplyr(lgchg,n,sd)
stdpr<-lag(x*stdevlgchg)
spike<-prchg/stdpr
return(spike)
}
require(quantmod)
ticker<-"AAPL"
x<-getSymbols(ticker,auto.assign=FALSE)
spike<-augen_spike(Ad(x))
tail(spike)
AAPL.Adjusted
2024-01-22 0.8620206
2024-01-23 0.4673772
2024-01-24 -0.2433463
2024-01-25 -0.1188073
2024-01-26 -0.6315797
2024-01-29 -0.6953803
I am working with the below code:
slideapply<-function(x,n,FUN=sd){
v<-c(rep(NA,length(x)))
for(i in n:length(x)){
v[i]<-FUN(x[(i-n+1):i])
}
return(v)
}
augenSpike<-function(x,n=20){
prchg<-c(NA,diff(x))
lgchg<-c(NA,diff(log(x)))
stdevlgchg<-slideapply(lgchg,n,sd)
stdpr<-x*stdevlgchg
stdpr<-c(NA,stdpr[-length(stdpr)])
spike<-prchg/stdpr
return(spike)
}
Application example:
require(quantmod)
getSymbols("RIVN")
spike<-augenSpike(as.vector(RIVN$RIVN.Adjusted))
RIVN$spike<-spike
tail(spike,5)
> tail(spike,5)
[1] -0.7975099 -0.2885007 -1.7847045 -1.7714723 -0.3163372
Instead of manually changing the code if I were to use a new stock ticker, nothing seems to return using the below snippet:
ticker<-"BABA"
getSymbols(ticker)
tail(ticker,5)
spike<-augenSpike(as.vector(ticker[,5]
tail(spike)
tail(spike)
Error: unexpected symbol in:
"
tail"
Appreciate if you can take a look and tell me what went wrong? Million thanks for ur help.
Use auto.assign = TRUE in your getSymbols() call to return the data as an R object. In the code below, x contains the data for ticker. And you can use the Ad() function in quantmod to get the adjusted close column instead of using the column number.
library(quantmod)
ticker <- "RIVN"
x <- getSymbols(ticker, auto.assign = FALSE)
spike <- augenSpike(as.vector(Ad(x)))
tail(spike)
## [1] -0.7975099 -0.2885007 -1.7847045 -1.7714723 -0.4984712 1.1262579
Also, I would rewrite your augenSpike() function to take advantage of xts functionality. Then you don't need the as.vector() call.
augen_spike <-
function(x, n = 20) {
prchg <- diff(x)
lgchg <- diff(log(x))
stdevlgchg <- rollapplyr(lgchg, n, sd)
stdpr <- lag(x * stdevlgchg)
spike <- prchg/stdpr
return(spike)
}
tail(augen_spike(Ad(x)))
## RIVN.Adjusted
## 2024-01-12 -0.7975099
## 2024-01-16 -0.2885007
## 2024-01-17 -1.7847045
## 2024-01-18 -1.7714723
## 2024-01-19 -0.4984712
## 2024-01-22 1.1262579