create_indicator: Create indicator by definition function and variables...

In chriszheng2016/zstmodelr: Stock Factor Models for China Stock Market Investment

Description

Use definition function and variable timeseries to create indicator.

Usage

create_indicator(
  ts_def_vars,
  ind_def_fun,
  ...,
  debug = FALSE,
  date_index_field = c("date"),
  key_fields = NULL,
  parallel = getOption("zstmodelr.common.parallel", TRUE)
)

Arguments

ts_def_vars	A dataframe of variable timeseries to create indicator.
ind_def_fun	A function of defining indicator.
...	Params to ind_def_fun.
debug	A logic to determine whether to turn on debug in creating indicator. Default FALSE means not to use debug.
date_index_field	Name of date index field of ts_def_vars, default 'date'.
key_fields	A character vector of key fields, which identify unique observation in each date. Default NULL means to not divide data into groups.
parallel	A logic to determine whether to use parallel processing. Default TRUE means to use parallel processing.

Value

A dataframe of new indicator timeseries if succeed, otherwise NULL.

See Also

Other indicator build functions: compute_indicator(), modify_indicator()

Examples

## Not run: 

# load vars dataset for generating indicators
ds_all_vars <- get_indicator_vars(stock_db,
  indicator_defs = ds_indicator_defs
)

# create ind_expr
indicator_formula <- c("stock_return <- mretwd
                          market_return <- cmretwdtl
                          model <- lm(stock_return ~ market_return)
                          beta <- coef(model)['market_return']")
indicator_expr <- create_expr(!!indicator_formula)

# create def_fun for indicator
indicator_def_fun <- create_indicator_def_fun(
  indicator_code = "m_stock_beta1",
  indicator_expr = indicator_expr,
  rolly_window = 12,
  period = "month"
)

# create a indicator from vars dataset.
ts_indicator <- create_indicator(
  ds_def_vars,
  ind_def_fun = ind_def_fun,
  debug = FALSE,
  date_index_field = "date",
  key_fields = "stkcd",
  parallel = TRUE
)

## End(Not run)

chriszheng2016/zstmodelr documentation built on June 13, 2021, 8:59 p.m.