tk_augment_holiday: Add many holiday features to the data

Description Usage Arguments Details Value See Also Examples

Description

Quickly add the "holiday signature" - sets of holiday features that correspond to calendar dates. Works with dplyr groups too.

Usage

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tk_augment_holiday_signature(
  .data,
  .date_var = NULL,
  .holiday_pattern = ".",
  .locale_set = c("all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH",
    "DE"),
  .exchange_set = c("all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH")
)

Arguments

.data

A time-based tibble or time-series object.

.date_var

A column containing either date or date-time values. If NULL, the time-based column will interpret from the object (tibble).

.holiday_pattern

A regular expression pattern to search the "Holiday Set".

.locale_set

Return binary holidays based on locale. One of: "all", "none", "World", "US", "CA", "GB", "FR", "IT", "JP", "CH", "DE".

.exchange_set

Return binary holidays based on Stock Exchange Calendars. One of: "all", "none", "NYSE", "LONDON", "NERC", "TSX", "ZURICH".

Details

tk_augment_holiday_signature adds the holiday signature features. See tk_get_holiday_signature() (powers the augment function) for a full description and examples for how to use.

1. Individual Holidays

These are single holiday features that can be filtered using a pattern. This helps in identifying which holidays are important to a machine learning model. This can be useful for example in e-commerce initiatives (e.g. sales during Christmas and Thanskgiving).

2. Locale-Based Summary Sets

Locale-based holdiay sets are useful for e-commerce initiatives (e.g. sales during Christmas and Thanskgiving). Filter on a locale to identify all holidays in that locale.

3. Stock Exchange Calendar Summary Sets

Exchange-based holdiay sets are useful for identifying non-working days. Filter on an index to identify all holidays that are commonly non-working.

Value

Returns a tibble object describing the holiday timeseries.

See Also

Augment Operations:

Underlying Function:

Examples

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library(dplyr)
library(timetk)

dates_in_2017_tbl <- tibble(index = tk_make_timeseries("2017-01-01", "2017-12-31", by = "day"))

# Non-working days in US due to Holidays using NYSE stock exchange calendar
dates_in_2017_tbl %>%
    tk_augment_holiday_signature(
        index,
        .holiday_pattern = "^$",   # Returns nothing on purpose
        .locale_set      = "none",
        .exchange_set    = "NYSE")

# All holidays in US
dates_in_2017_tbl %>%
    tk_augment_holiday_signature(
        index,
        .holiday_pattern = "US_",
        .locale_set      = "US",
        .exchange_set    = "none")

# All holidays for World and Italy-specific Holidays
# - Note that Italy celebrates specific holidays in addition to many World Holidays
dates_in_2017_tbl %>%
    tk_augment_holiday_signature(
        index,
        .holiday_pattern = "(World)|(IT_)",
        .locale_set      = c("World", "IT"),
        .exchange_set    = "none")

timetk documentation built on Nov. 16, 2021, 9:26 a.m.