[Returnanalytics-commits] r2178 - pkg/MPO/R

[noreply at r-forge.r-project.org]

Author: jamesleehobbs
Date: 2012-07-19 02:16:50 +0200 (Thu, 19 Jul 2012)
New Revision: 2178

Removed:
   pkg/MPO/R/buildDataSet.R
Log:
-moved to allow package to build

Deleted: pkg/MPO/R/buildDataSet.R
===================================================================
--- pkg/MPO/R/buildDataSet.R	2012-07-19 00:16:09 UTC (rev 2177)
+++ pkg/MPO/R/buildDataSet.R	2012-07-19 00:16:50 UTC (rev 2178)
@@ -1,63 +0,0 @@
-### get data
-library(xts)
-library(quantmod)
-library(PerformanceAnalytics)
-
-###TODO load from package
-### market cap data from:  http://pages.stern.nyu.edu/~adamodar/New_Home_Page/data.html
-
-#yahoo is missing data from DF and DFG
-mktCap <- read.csv("N:\\School\\Summer 2012\\Data Set\\Market Cap Data\\mktCapSummary.csv",as.is=TRUE)
-classifiers <- c("class.2011","class.12yrAvg","class.2yrAvg")
-large <- 10000
-mid <- 2000
-small <- 250
-
-
-### Classify tickers into market cap classes
-#  mktCap > 10,000 large
-#         > 2,000 and <10,000 mid
-#         > 250   and <2,000 small
-#         < 250 micro
-for (i in 1:length(classifiers)){
-  mktCap[mktCap[,1+i] >= large,classifiers[i]]   <- "large"
-  mktCap[mktCap[,1+i] >= mid & mktCap[,1+i] < large ,classifiers[i]]   <- "mid"
-  mktCap[mktCap[,1+i] >= small & mktCap[,1+i] < mid ,classifiers[i]]   <- "small"
-  mktCap[mktCap[,1+i] <= small,classifiers[i]]   <- "micro"
-}
-
-### Get 100 tickers by group
-groupSize <- 100
-large.tickers <- mktCap[mktCap[,"class.2011"]=="large","Ticker"][1:groupSize]
-mid.tickers <- mktCap[mktCap[,"class.2011"]=="mid","Ticker"][1:groupSize]
-small.tickers <- mktCap[mktCap[,"class.2011"]=="small","Ticker"][1:groupSize]
-micro.tickers <- mktCap[mktCap[,"class.2011"]=="micro","Ticker"][1:groupSize]
-
-### Download Data
-start.date <- as.Date("2000-01-01")
-end.date <- as.Date("2012-06-29")
-
-
-###get symbols wrapper function
-###add documentation and option for daily or weekly returns
-getReturns <- function(symbols,...){
-  nSymbols <- length(symbols)
-  price.list <- list()
-  for (i in 1:nSymbols){
-    #download adjusted close
-    price.list[[i]]   <- getSymbols(symbols[i],auto.assign = FALSE 
-                                          ,...)[,6]
-    #keep month end price
-    price.list[[i]] <- to.monthly(price.list[[i]],indexAt="Date")[,4]
-    }
-  price.df = as.data.frame(price.list)
-  price.xts = as.xts(price.df, order.by=as.Date(rownames(price.df)))
-  returns <- Return.calculate(price.xts,method="compound")
-  names(returns) <- symbols
-  returns[-1]
-}
-
-large.cap.returns <- getReturns(large.tickers,from = start.date, to = end.date)
-mid.cap.returns <- getReturns(mid.tickers,from = start.date, to = end.date)
-small.cap.returns <- getReturns(small.tickers,from = start.date, to = end.date)
-micro.cap.returns <- getReturns(micro.tickers,from = start.date, to = end.date)