compute_ret_years <- function(y) {
library(zoo)
prior_returns <- function(y, months){
y %>%
group_by(symbol) %>%
mutate(returns = roll_mean((monthly_returns), months, fill = NA, align = "right")) %>%
rename(c(returns = paste0(months, "_month_prior_returns")))
}
for(i in c(6)) {prior_returns(y, i) -> y}
y <- y%>%
gather(key = j.ret, value = prev.returns, 7:ncol(y))
y$j.ret <- extract_numeric(y$j.ret)
prior_returns2 <- function(y, months){
y %>%
group_by(symbol) %>%
mutate(mean_TV = roll_mean((monthly_TV), months, fill = NA, align = "right")) %>%
rename(c(mean_TV = paste0(months, "_month_prior_volume")))
}
for(i in c(6)) {prior_returns2(y, i) -> y}
y <- y%>%
gather(key = j.vol, value = prev.vol, 9:ncol(y))
y$j.vol <- extract_numeric(y$j.vol)
prior_returns3 <- function(y, months){
y %>%
group_by(symbol) %>%
mutate(returns2 = roll_mean(lead(monthly_returns, n = 1), months, fill = NA, align = "left")) %>%
rename(c(returns2 = paste0(months, "_month_future_returns")))
}
for(i in c(1:5)) {prior_returns3(y, i) -> y}
y <- y %>%
gather(key = k.ret, value = future.returns, 11:ncol(y))
y$k.ret <- extract_numeric(y$k.ret)
y <- y %>%
filter(j.ret == j.vol)
z <- y %>%
mutate(month = month(monthYear)) %>%
filter(month == 1) %>%
#group_by(symbol) %>%
#filter(monthly_returns <= 200) %>%
na.omit
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.