R/clean-2-mutate_f.R

In junyitt/tfunction: tfunction for Trading Purposes

#' mutate_f function
#' 
#' mutate/add new columns (chg.. = last./ref.)
#' 
#' Dependencies: library0("plyr", "dplyr"), closemod.v.f (this package)
#' Return df (output: final.df)
#' @importFrom magrittr %>%
#' @param df default to clean.df
#' @keywords mutate select new columns
#' @export
#' @examples
#' mutateselect.f(df= clean.df)
mutate_f <- function(df = clean_df){
      
      #filter delisted
      max_tolerance_date <- max(clean_df[,"date"])-20
      
      df <- df %>% dplyr::group_by(code.) %>% dplyr::mutate(status2 = max(date) >= max_tolerance_date)
      df1 <- df %>% dplyr::filter(status2) %>% dplyr::select(-status2)
      
      #modify chg..
      df1 <- df1 %>% dplyr::group_by(code.) %>% dplyr::mutate(chg.. = last./ref.-1)
      
      #add lastmod
      df1 <- df1 %>% dplyr::group_by(code.) %>% dplyr::mutate(lastmod = closemod.v.f(chg..)) 
      
      
      return(as.data.frame(df1))

}


#' Sub-function: closemod.v.f
#' 
#' modify closing price using return data, i.e. all stocks start from closing price of 1.00 and the next closing price is the product of previous closing price and (1+return)
#' @param return.v return.v
#' @keywords closemod
#' @export
#'
closemod.v.f <- function(return.v){
      L <- length(return.v)
      
      closemod.v <- sapply(1:L, FUN = function(x){
            if(x == 1){
                  return(1)
            }else{
                  prod(1+return.v[2:x])     
            }
            
      })
      
      # closemod.v <- formattable(closemod.v, digits = 3, format = "f")
      return(closemod.v)
}