R/ts.R

In ylwpaopao/cnquant: Quantitative Analysis Tools in Chinese Stock Market

#' Transform from data.frame to time series
#'
#' The data.frame should have one column as index and others as time series.
#'
#' @param df
#' @param .datetime index.
#' @param output_class zoo or ts.
#' @param frequency 4L or 12L (or NULL) for ts (zoo).
#'
#' @return
#' @export
#'
#' @examples
df_to_ts <- function(df, .datetime = "DATETIME", output_class = "ts", frequency = 12L) {

  if (output_class == "zoo") {

    df %>%
      tibble::column_to_rownames(.datetime) %>%
      zoo::as.zoo(order.by = lubridate::ymd(rownames(.)), frequency = frequency) %>%
      return()

  } else if (output_class == "ts") {

    if (frequency == 4L) {
      period_start <- df %>% pull(.datetime) %>% first() %>% {c(year(.), quarter(.))}
      period_end <- df %>% pull(.datetime) %>% last() %>% {c(year(.), quarter(.))}
    } else if (frequency == 12L) {
      period_start <- df %>% pull(.datetime) %>% first() %>% {c(year(.), month(.))}
      period_end <- df %>% pull(.datetime) %>% last() %>% {c(year(.), month(.))}
    } else if (frequency == 11L) {
      period_start <- df %>% pull(.datetime) %>% first() %>% {c(year(.), month(.) - 1)}
      period_end <- df %>% pull(.datetime) %>% last() %>% {c(year(.), month(.) - 1)}
    } else
      stop("invalid frequency")

    df %>%
      tibble::column_to_rownames(.datetime) %>%
      ts(start = period_start, end = period_end, frequency = frequency) %>%
      return()

  } else

    stop("unsupported output class, currently only zoo & ts are supported")

}

#' Title
#'
#' @param y
#'
#' @return
#' @export
#'
#' @examples
forecast_arima_h1 <- function(y) {
  # 在rollapply时y是一个zoo
  y %>%
    # 这里auto.arima会将其变为一个ts
    forecast::auto.arima() %>%
    forecast::forecast(h = 1L) %>%
    .$mean %>%
    as.numeric() %>%
    return()
}

#' Title
#'
#' @param ts
#'
#' @return
#' @export
#'
#' @examples
ts_to_df <- function(ts) {

  if (frequency(ts) %in% c(4L, 12L)) {
    dplyr::bind_cols(
      DATETIME = ts %>% zoo::as.zoo() %>% zoo::index() %>% as.Date() %>% month_end(),
      tibble::as_tibble(ts)
    ) %>%
      return()
  } else if (frequency(ts) == 11L) {
    index <- index(ts)
    year <- floor(index)
    month <- round((index - year) * 11L + 2L)
    DATETIME <- month %>% stringr::str_pad(width = 2L, pad = "0") %>% stringr::str_c(year, ., "01") %>% lubridate::ymd() %>% month_end()
    dplyr::bind_cols(
      DATETIME = DATETIME,
      tibble::as_tibble(ts)
    ) %>%
      return()
  } else {
    stop("invalid frequency")
  }

}