tq_mutate | R Documentation |
tq_mutate()
adds new variables to an existing tibble;
tq_transmute()
returns only newly created columns and is typically
used when periodicity changes
tq_mutate(
data,
select = NULL,
mutate_fun,
col_rename = NULL,
ohlc_fun = NULL,
...
)
tq_mutate_(data, select = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_xy_(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_fun_options()
tq_transmute(
data,
select = NULL,
mutate_fun,
col_rename = NULL,
ohlc_fun = NULL,
...
)
tq_transmute_(data, select = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_xy_(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_fun_options()
data |
A |
select |
The columns to send to the mutation function. |
mutate_fun |
The mutation function from either the |
col_rename |
A string or character vector containing names that can be used to quickly rename columns. |
ohlc_fun |
Deprecated. Use |
... |
Additional parameters passed to the appropriate mutatation function. |
x , y |
Parameters used with |
tq_mutate
and tq_transmute
are very flexible wrappers for various xts
,
quantmod
and TTR
functions. The main advantage is the
results are returned as a tibble
and the
function can be used with the tidyverse
. tq_mutate
is used when additional
columns are added to the return data frame. tq_transmute
works exactly like tq_mutate
except it only returns the newly created columns. This is helpful when
changing periodicity where the new columns would not have the same number of rows
as the original tibble.
select
specifies the columns that get passed to the mutation function. Select works
as a more flexible version of the OHLC extractor functions from quantmod
where
non-OHLC data works as well. When select
is NULL
, all columns are selected.
In Example 1 below, close
returns the "close" price and sends this to the
mutate function, periodReturn
.
mutate_fun
is the function that performs the work. In Example 1, this
is periodReturn
, which calculates the period returns. The ...
are additional arguments passed to the mutate_fun
. Think of
the whole operation in Example 1 as the close price, obtained by select = close
,
being sent to the periodReturn
function along
with additional arguments defining how to perform the period return, which
includes period = "daily"
and type = "log"
.
Example 4 shows how to apply a rolling regression.
tq_mutate_xy
and tq_transmute_xy
are designed to enable working with mutatation
functions that require two primary inputs (e.g. EVWMA, VWAP, etc).
Example 2 shows this benefit in action: using the EVWMA function that uses
volume to define the moving average period.
tq_mutate_
, tq_mutate_xy_
, tq_transmute_
, and tq_transmute_xy_
are setup for Non-Standard
Evaluation (NSE). This enables programatically changing column names by modifying
the text representations. Example 5 shows the difference in implementation.
Note that character strings are being passed to the variables instead of
unquoted variable names. See vignette("nse")
for more information.
tq_mutate_fun_options
and tq_transmute_fun_options
return a list of various
financial functions that are compatible with tq_mutate
and tq_transmute
,
respectively.
Returns mutated data in the form of a tibble
object.
tq_get()
# Load libraries
library(dplyr)
##### Basic Functionality
fb_stock_prices <- tidyquant::FANG %>%
filter(symbol == "META") %>%
filter(
date >= "2016-01-01",
date <= "2016-12-31"
)
goog_stock_prices <- FANG %>%
filter(symbol == "GOOG") %>%
filter(
date >= "2016-01-01",
date <= "2016-12-31"
)
# Example 1: Return logarithmic daily returns using periodReturn()
fb_stock_prices %>%
tq_mutate(select = close, mutate_fun = periodReturn,
period = "daily", type = "log")
# Example 2: Use tq_mutate_xy to use functions with two columns required
fb_stock_prices %>%
tq_mutate_xy(x = close, y = volume, mutate_fun = EVWMA,
col_rename = "EVWMA")
# Example 3: Using tq_mutate to work with non-OHLC data
tq_get("DCOILWTICO", get = "economic.data") %>%
tq_mutate(select = price, mutate_fun = lag.xts, k = 1, na.pad = TRUE)
# Example 4: Using tq_mutate to apply a rolling regression
fb_returns <- fb_stock_prices %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "fb.returns")
goog_returns <- goog_stock_prices %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "goog.returns")
returns_combined <- left_join(fb_returns, goog_returns, by = "date")
regr_fun <- function(data) {
coef(lm(fb.returns ~ goog.returns, data = as_tibble(data)))
}
returns_combined %>%
tq_mutate(mutate_fun = rollapply,
width = 6,
FUN = regr_fun,
by.column = FALSE,
col_rename = c("coef.0", "coef.1"))
# Example 5: Non-standard evaluation:
# Programming with tq_mutate_() and tq_mutate_xy_()
col_name <- "adjusted"
mutate <- c("MACD", "SMA")
tq_mutate_xy_(fb_stock_prices, x = col_name, mutate_fun = mutate[[1]])
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