Description Usage Arguments Value See Also Examples
View source: R/indicator-build.R
Use definition function and variable timeseries to create indicator.
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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. |
A dataframe of new indicator timeseries if succeed, otherwise NULL.
Other indicator build functions:
compute_indicator()
,
modify_indicator()
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 | ## 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)
|
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