Following R data.table Return calculation and set()
I would like to ask how I can use Delt() from library(quantmod) to find returns for a time-series in a data.table().
So far, thanks to Frank, I have:
set.seed(42)
DT <- data.table(
ticker=rep(letters,each=5),
priceA=runif(5*26^2),
priceB=runif(5*26^2))
DT[,paste('returns',LETTERS[1:2],sep=''):={
lapply(.SD,function(x){
old <- head(x,-1)
new <- tail(x,-1)
c(NA,(new-old)/old)
})
},by=ticker,.SDcols=grep('^price',names(DT))]
The result (for this seed value) is:
ticker priceA priceB returnsA returnsB
1: a 0.9148060 0.7956245 NA NA
2: a 0.9370754 0.9314941 0.02434327 0.1707710
3: a 0.2861395 0.6269996 -0.69464620 -0.3268883
4: a 0.8304476 0.1666758 1.90224707 -0.7341691
5: a 0.6417455 0.6483800 -0.22722939 2.8900659
---
3376: z 0.2887293 0.3473923 -0.54132570 -0.3514041
3377: z 0.9013438 0.1788842 2.12176058 -0.4850656
3378: z 0.3126429 0.7648157 -0.65313686 3.2754788
3379: z 0.8791381 0.1300418 1.81195584 -0.8299698
3380: z 0.8160158 0.8159330 -0.07180019 5.2743905
How can I use Delt() (or a similar %change function) instead of function(x){
old <- head(x,-1)
new <- tail(x,-1)
c(NA,(new-old)/old)
} ??
Many many thanks!
