I am trying to compute various technical indicators that will be used to predict the stock price movement of around 100 stocks. For example, I want to calculate the Average True Range (ATR) for each of the companies in my time series, which I am trying to do with the TTR package in R. However, the problem is that I can't figure out how to do it for each of the companies in my dataset. I have tried to use dplyr::group_by(company) which doesn't work.

data_ATR <- data_price %>%
  dplyr::group_by(company) %>%
  TTR::ATR(data_price[,c("PRICE HIGH", "PRICE LOW", "CLOSING PRICE")], n=14)

Any help would be greatly appreciated!

CodePudding user response：

We may use group_modify here

library(dplyr)
data_price %>%
  dplyr::group_by(company) %>%
  dplyr::group_modify(~ as.data.frame(TTR::ATR(.[,c("PRICE HIGH", 
     "PRICE LOW", "CLOSING PRICE")], n=14)))

Update

If there are NAs we may need to get the index of the first non-NA row among all the subset of columns

data_price %>%
  dplyr::group_by(company) %>%
  dplyr::group_modify(~ 
     {
      tmp <- .x[,c("PRICE HIGH", "PRICE LOW", "CLOSING PRICE")]
      i1 <- which(rowSums(!is.na(tmp)) == ncol(tmp))[1]
      tmp <- tmp[i1:nrow(tmp), ]
      
     
     as.data.frame(TTR::ATR(tmp], n=14))
     })

Using a reproducible example

library(TTR)
data(ttrc)
ttrc %>% 
 mutate(company = as.integer(gl(n(), 25, n()))) %>% 
 group_by(company) %>% 
 group_modify(~ as.data.frame(ATR(.[c("High", "Low", "Volume")], n = 14))) %>% 
ungroup
# A tibble: 5,550 × 5
   company       tr   atr trueHigh trueLow
     <int>    <dbl> <dbl>    <dbl>   <dbl>
 1       1      NA     NA       NA   NA   
 2       1 1870903.    NA  1870906    3.09
 3       1 3099503.    NA  3099506    3.08
 4       1 2274154.    NA  2274157    3.07
 5       1 2086755.    NA  2086758    3.08
 6       1 2166345.    NA  2166348    3.1 
 7       1 3441795.    NA  3441798    3.14
 8       1 7550745.    NA  7550748    3.2 
 9       1 4853309.    NA  4853312    3.22
10       1 5814822.    NA  5814825    3.28
# … with 5,540 more rows