R help - Jul 2011 - Picking returns from particular days of the month from a zoo object

Hello,

I would like to implement a "turn-of-the-month' trading strategy in R.

Given a daily series of stock market return data as a zoo object, the strategy 
would go long (buy) four trading days before the end of the month, and sell the 
third trading day of the following month.

How can I select these days, particularly the fourth day before and the third 
day after the turn of the month, from a zoo object?

Thanks in advance,



John B. Nicholas, Ph.D
650-315-9895

	[[alternative HTML version deleted]]

On Fri, Jul 22, 2011 at 2:37 PM, john nicholas <jbnichola at
sbcglobal.net> wrote:
> ?Hello,
>
> I would like to implement a "turn-of-the-month' trading strategy
in R.
>
> Given a daily series of stock market return data as a zoo object, the
strategy
> would go long (buy) four trading days before the end of the month, and sell
the
> third trading day of the following month.
>
> How can I select these days, particularly the fourth day before and the
third
> day after the turn of the month, from a zoo object?
>
Here are two ways to do this using xts.  The first approach creates a
list of xts objects where each list element contains one month of
data.  Then it uses first() and last() to extract the 4th trading day
prior to the end of the month.

require(quantmod)
getSymbols(SPY)
x1 <- do.call(rbind, lapply(split(SPY, "months"), function(x)
first(last(x,4))))

The second approach uses apply.monthly(), but that function always
returns an object with index values that correspond to the last
observation in the month.  So we have to manually update the index to
be 3 days prior.

x2 <- apply.monthly(SPY, function(x) first(last(x,4)))
index(x2) <- index(SPY)[endpoints(SPY, "months")[-1]-3]
> Thanks in advance,
>
> John B. Nicholas, Ph.D
> 650-315-9895
>
HTH,
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

On Fri, Jul 22, 2011 at 3:37 PM, john nicholas <jbnichola at
sbcglobal.net> wrote:
>
> ?Hello,
>
> I would like to implement a "turn-of-the-month' trading strategy
in R.
>
> Given a daily series of stock market return data as a zoo object, the
strategy
> would go long (buy) four trading days before the end of the month, and sell
the
> third trading day of the following month.
>
> How can I select these days, particularly the fourth day before and the
third
> day after the turn of the month, from a zoo object?
>

library(quantmod) # also brings in zoo

# set up some test data
getSymbols("IBM", return.class = "zoo")

# get index in ibm to 3rd trading day in month
# and 4th last trading day in month
ym <- as.yearmon(time(IBM))
ithird <- c(tapply(seq_along(tt), ym, "[", 3))
ilast4 <- c(tapply(seq_along(tt), ym, function(x) x[length(x)-3]))

Now IBM[ithird, ] and IBM[ilast4, ] give the subseries at the third and
fourth last days of each month, respectively.

time(IBM)[ithird] and time(IBM)[ilast4] are just the dates.

-- 
Statistics & Software Consulting
GKX Group, GKX Associates Inc.
tel: 1-877-GKX-GROUP
email: ggrothendieck at gmail.com