[R] R Newbie, please help!

[Joshua Wiley]

Hello Jeff,

Try this:

test <- data.frame(totret=rnorm(10^7)) #create some sample data
test[-1,"dailyreturn"] <- test[-1,"totret"]/test[-nrow(test),"totret"]

The general idea is to take the column "totret" excluding the first 1,
dividided by "totret" exluding the last row.  This gives in effect t+1
(since t is now shorter)/t

I assigned the result to a new column "dailyreturn".  For 10^7 rows,
it tooks 1.92 seconds on my system.

HTH,

Josh

On Thu, Jun 3, 2010 at 8:04 PM, Jeff08 <jefferyding at gmail.com> wrote:
>
> Hello Everyone,
>
> I just started a new job & it requires heavy use of R to analyze datasets.
>
> I have a data.table that looks like this. It is sorted by ID & Date, there
> are about 150 different IDs & the dataset spans 3 million rows. The main
> columns of concern are ID, date, and totret. What I need to do is to derive
> daily returns for each ID from totret, which is simply totret at time t+1
> divided by totret at time t.
>
>              X       id ticker      date_ adjClose    totret RankStk
> 427225   427225 00174410    AHS 2001-11-13    21.66 100.00000    1235
> 441910   441910 00174410    AHS 2001-11-14    21.60  99.72300    1235
> 458458   458458 00174410    AHS 2001-11-15    21.65  99.95380    1235
> 284003   284003 00174410    AHS 2001-11-16    21.59  99.67680    1235
>
> Two problems for me:
>
> 1)I can't just apply it to the entire column since there will be problems at
> the boundary points where the ID changes from 1 to another. I need to find
> out how to specify a restriction on the name of the ID
>
> 2) From Java, instinctively I would use a loop to calculate daily returns,
> but I found out that R is very slow with loops, so I need to find an
> efficient way to calculate  daily returns with such a huge dataset.
>
> Thanks a lot!
>
>
> --
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>
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>



-- 
Joshua Wiley
Senior in Psychology
University of California, Riverside
http://www.joshuawiley.com/