apply - 在移动行之前测试多个条件 [英] apply - test multiple conditions before moving rows

问题描述

我想使用 apply 来迭代一个矩阵，将开盘价和高价与限制进行比较.

I want to use apply to iterate over a matrix comparing open and high prices to a limit.

我最初使用了一个 while 循环，但它很慢，所以转移到应用.

I originally used a while loop but it was slow so moved to apply.

我已尝试为下面的开始行 +1.

I have tried to +1 to the StartingRow as below.

Summary <- matrix(data=NA, nrow=1, ncol=1)
Overall <- matrix(data=NA, nrow=1, ncol=2)
Open <- matrix(data=NA, nrow=1, ncol=1)

MSingle <- function(x, StartingRow=1, Limit=0.01, StopLoss=0.01){
  Open = x[1]
  High = x[2]
  Low = x[3]
  #If the difference between High and Open exceeds Limit the function ends.
  if (!is.na(High-Open[StartingRow]) > Limit){
    Summary <<- 1
    Open <<- Open
    Row <<- cbind(Summary, Open)
    Overall <<- rbind(Overall, Row)
  }
  #If the difference between Open and Low exceeds the Stoploss the function ends.
  else if (!is.na(Open[StartingRow]-Low) > StopLoss){
    Summary <<- 0
    Open <<- Open
    Row <<- cbind(Summary, Open)
    Overall <<- rbind(Overall, Row)
  }
  #If neither of these are met then I want to compare the original Open price at time t...
  #...with the high and low prices at time t+1, t+2, and so on, until either of the first two...
  #...conditions is met.
  else{
    StartingRow = StartingRow + 1
  }
}

apply(EUR_USD2, 1, MSingle)

更正:这最初是 lapply 但我在复制代码时出错了，描述的结果来自 apply.

CORRECTION: This was initially lapply but it was an error on my part when copying code over, the result described is from apply.

矩阵 EUR_USD2 示例

Example of Matrix EUR_USD2

       Open    High     Low   Close
[1,] 1.20037 1.20100 1.20037 1.20100
[2,] 1.20083 1.20095 1.20017 1.20030
[3,] 1.20035 1.20043 1.20035 1.20043
[4,] 1.20041 1.20050 1.20031 1.20046
[5,] 1.20049 1.20049 1.20046 1.20048`
[6,] 1.20050 1.20050 1.20048 1.20048
[7,] 1.20050 1.20069 1.20032 1.20048
[8,] 1.20048 1.20054 1.20027 1.20050
[9,] 1.20051 1.20087 1.20047 1.20087
[10,] 1.20082 1.20097 1.20076 1.20094

预期结果:

High[1] = 1.20100
Open[1] = 1.20037
Difference is 0.00063 (which is < Limit)

因此我想保留相同的 Open[1] 但移动到 High[2].

Therefore I want to retain the same Open[1] but move to High[2].

High[2] = 1.20095
Open[1] = 1.20037

差值为 0.00058(

Difference is 0.00058 (which is < Limit) and so on, until the difference is greater than Limit (or less than stoploss) at which point the function starts again but with Open[2].

申请结果:

     Summary    Open
          NA      NA
Open       1 1.20037
Open       1 1.20083
Open       1 1.20035
Open       1 1.20041
Open       1 1.20049
Open       1 1.20050
Open       1 1.20050
Open       1 1.20048
Open       1 1.20051

然而，这个结果只是比较同期的(高开)和限价.

This result however is only comparing the (High-Open) to Limit for the same period.

我想将高开(差异)与限价进行比较.如果这超过限制，则满足第一个条件.如果条件不满足，那么我想保留相同的开盘价，但将其与下一个时期的最高价进行比较，然后再次针对限价进行测试.

I want to compare High-Open (the difference) to the Limit. If this exceeds the limit then the first condition is met. If the condition is not met then I want to retain the same Open price but compare that to the High of the next period and test again against the Limit.

只有到那时我才想申请比较从第 2 期到限价的开盘价和最高价.

Only then do I want apply to move onto comparing the Open and High from period 2 to Limit.

在满足条件之前，开盘价必须保持不变.当前适用的是将高价 (t=1)-开盘价 (t=1) 与限价进行比较，但不会将开盘价与任何未来期间的高价进行比较.

The Open price must remain the same until the condition is met. Currently apply is comparing High(t=1)-Open(t=1) to Limit but does not compare the Open to any future periods High Values.

推荐答案

我不确定我是否完全理解您期望的输出(您可以将您期望的确切结果和示例添加到您的帖子和示例中)，但类似的内容我的建议可能有效:

I'm not completely sure I understood the output you are expecting (you could add to your post and example of the exact result you expect), but something similar to what I propose might work:

s <- "Open High Low Close
1.20037 1.20100 1.20037 1.20100
1.20083 1.20095 1.20017 1.20030
1.20035 1.20043 1.20035 1.20043
1.20041 1.20050 1.20031 1.20046
1.20049 1.20049 1.20046 1.20048
1.20050 1.20050 1.20048 1.20048
1.20050 1.20069 1.20032 1.20048
1.20048 1.20054 1.20027 1.20050
1.20051 1.20087 1.20047 1.20087
1.20082 1.20097 1.20076 1.20094"

EUR_USD2 <- read.delim(textConnection(s), sep = " ")

myfun <- function(x, df, Limit, StopLoss) {

  highComp <- which(df$High - df$Open[x] > Limit)
  highCompMin <- if(length(highComp) == 0) 0 else min(highComp)
  lowComp <- which(df$Open[x] - df$Low > StopLoss)
  lowCompMin <- if(length(lowComp) == 0) 0 else min(lowComp)

  if(highCompMin == 0 & lowCompMin == 0) {
    result <- c(Summary = NA, Open = df$Open[x])
  } else if (highCompMin >= lowCompMin) {
    result <- c(Summary = 1, Open = df$Open[x])
  } else if (lowCompMin > highCompMin) {
    result <- c(Summary = 0, Open = df$Open[x])
  } else {
    result <- c(Summary = NA, Open = df$Open[x])
  }

  return(result)

}

t(sapply(1:nrow(EUR_USD2), function(x) myfun(x, df = EUR_USD2,
                                             Limit = 0.00062, StopLoss = 0.0005)))

### OUTPUT:
#      Summary    Open
# [1,]       1 1.20037
# [2,]       0 1.20083
# [3,]       1 1.20035
# [4,]      NA 1.20041
# [5,]      NA 1.20049
# [6,]      NA 1.20050
# [7,]      NA 1.20050
# [8,]      NA 1.20048
# [9,]      NA 1.20051
# [10,]      0 1.20082

对于每一行 i 将 EUR_USD2$Open[i] 与整个 High 和 Low 列进行比较找到满足比较的最小索引，然后根据结果设置Summary.该值设置为 NA 以防没有值满足比较要求.

For each row i compares EUR_USD2$Open[i] with the whole High and Low columns to find the minimum index that fulfills the comparisons and then sets Summary according to the result. The value is set to NA in case no value fulfills the comparisons.

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