3

请将以下数据结构放入 R 中：

ret.tot <- structure(c(NA, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -0.0176629385269872, 
-0.00598540500471782, 0.000397233717450593, 0.0306832492016377, 
0.017489053560066, 0.00269955471373475, -0.0320201783372234, 
-0.0275430853903852, -0.000590271106063863, 0.0129459406811023, 
0.0149953072553982, -0.0129087888171287, -0.00130280102489988, 
-0.0377404713075129, 0.0236191282922097, -0.0119020468768697, 
-0.115096461748588, 0.100199681314344, 0.0911308738334283, -0.110863725885523, 
-0.0727448946117171, 0.0474370051015683, -0.0261582369412903, 
0.0555183596655775, 0.00860003940385565, 0.0346875742874423, 
0.0165600647484871, 0.0289458251073716, -0.0200260791601897, 
0.0762373770534174, -0.0221922758574445, -0.0462536669889334, 
0.0145014986918377, 0.00785273903343038, 0.0278941165111914, 
-0.0147065715501423, 0.0153730326847651, 0.0144617698521356, 
0.0197478508710501, 0.0251269321439706, -0.0103666325237731, 
-0.00157067125918319, 0.0115368085910558, -0.0200792001115183, 
0.0309994626763721, -0.00718247947811835, 0.0175666609422171, 
0.00657518046680547, -0.0281804455661145, 0.0239339965633073, 
-0.0040811434351766, -0.00861507762926691, 0.0492982380847687, 
0.0101687467126706, 0.0134748887393316, 0.0258425088138871, 0.00378545928098804, 
-0.0150120910386031, 0.00362726110322858, -0.00593835966763433, 
0.0312603603825787, 0.0111363934978518, 0.00793289404006547, 
0.00807089833865603, -0.0118743825996689), .Dim = c(78L, 1L), .Dimnames = list(
    NULL, NULL), index = structure(c(1146441600, 1149120000, 
1151712000, 1154390400, 1157068800, 1159660800, 1162339200, 1164931200, 
1167609600, 1170288000, 1172707200, 1175385600, 1177977600, 1180656000, 
1183248000, 1185926400, 1188604800, 1191196800, 1193875200, 1196467200, 
1199145600, 1201824000, 1204329600, 1207008000, 1209600000, 1212278400, 
1214870400, 1217548800, 1220227200, 1222819200, 1225497600, 1228089600, 
1230768000, 1233446400, 1235865600, 1238544000, 1241136000, 1243814400, 
1246406400, 1249084800, 1251763200, 1254355200, 1257033600, 1259625600, 
1262304000, 1264982400, 1267401600, 1270080000, 1272672000, 1275350400, 
1277942400, 1280620800, 1283299200, 1285891200, 1288569600, 1291161600, 
1293840000, 1296518400, 1298937600, 1301616000, 1304208000, 1306886400, 
1309478400, 1312156800, 1314835200, 1317427200, 1320105600, 1322697600, 
1325376000, 1328054400, 1330560000, 1333238400, 1335830400, 1338508800, 
1341100800, 1343779200, 1346457600, 1349049600), tzone = "", tclass = "yearmon"), .indexCLASS = "yearmon", tclass = "yearmon", .indexTZ = "", tzone = "", class = c("xts", 
"zoo"))

我的 R 会话：

R version 2.15.1 (2012-06-22)
Platform: i386-pc-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_Australia.1252  LC_CTYPE=English_Australia.1252   
[3] LC_MONETARY=English_Australia.1252 LC_NUMERIC=C                      
[5] LC_TIME=English_Australia.1252    

attached base packages:
[1] stats     graphics  grDevices datasets  utils     methods   base     

other attached packages:
 [1] quantmod_0.3-17       TTR_0.21-1            xts_0.8-6            
 [4] zoo_1.7-8             Defaults_1.1-1        rmgarch_0.97         
 [7] Matrix_1.0-9          lattice_0.20-10       Kendall_2.2          
[10] spd_1.7               KernSmooth_2.23-8     rugarch_1.0-11       
[13] Rsolnp_1.12           truncnorm_1.0-6       chron_2.3-42         
[16] numDeriv_2012.3-1     MASS_7.3-18           RcppArmadillo_0.3.4.2
[19] Rcpp_0.9.13           rcom_2.2-5            rscproxy_2.0-5       

loaded via a namespace (and not attached):
[1] boot_1.3-7                   grid_2.15.1                 
[3] PerformanceAnalytics_1.0.4.4 timeDate_2160.95
[5] timeSeries_2160.94           tools_2.15.1

给我问题的代码：

op <- par(no.readonly = TRUE)
library(PerformanceAnalytics)
charts.PerformanceSummary(R = ret.tot, Rf = .0)
table.AnnualizedReturns(R = ret.tot, scale = 12, Rf = 0)
table.Returns(R = ret.tot)
detach(package:PerformanceAnalytics)
par(op)

上面的代码返回以下错误：

> table.AnnualizedReturns(R = ret.tot, scale = 12, Rf = 0)
Error in xts(rep(Rf, length(indexseries)), order.by = indexseries) : 
  order.by requires an appropriate time-based object
> table.Returns(R = ret.tot)
Error in matrix(unlist(value, recursive = FALSE, use.names = FALSE), nrow = nr,  : 
  'data' must be of a vector type

我猜和其他包之间有些冲突PerformanceAnalytics，但我不明白谁是有罪的......

ret.tot <- xts(ret.tot, order.by = as.POSIXct(index(ret.tot)))

所以...

> charts.PerformanceSummary(R = ret.tot, Rf = .0)
Error in UseMethod("first") : 
  no applicable method for 'first' applied to an object of class "c('xts', 'zoo')"

> table.AnnualizedReturns(R = ret.tot, scale = 12, Rf = 0)
                              NA
Annualized Return         0.0335
Annualized Std Dev        0.1144
Annualized Sharpe (Rf=0%) 0.2928

> table.Returns(R = ret.tot)
Error in matrix(unlist(value, recursive = FALSE, use.names = FALSE), nrow = nr,  : 
  'data' must be of a vector type

啊！

（与 相同as.Date()）。

4

1 回答 1

4

我可以重现您的问题，但使用完全不同的系统（见下文）。所以我不认为你的问题是由于你安装了这些软件包。

我的猜测是 PerformanceAnalytics 中的某些函数不需要 yearmon 日期类型，因此请尝试将其转换为 POSIXct。是的，我刚刚确认：

z=xts(coredata(ret.tot), order.by=as.POSIXct(index(ret.tot)) )
table.AnnualizedReturns(R = z, scale=12,Rf=0)

给出了这个：

                              NA
Annualized Return         0.0335
Annualized Std Dev        0.1144
Annualized Sharpe (Rf=0%) 0.2928

更新您的更新

  1. charts.PerformanceSummary()对我有用，对对象as.POSIXct和as.Date对象都有效。也许再试一次，有一个新的会话？

  2. 因为table.Returns我通过给列命名来修复它！这有点奇怪，而且没有记录，所以你可以提交一个错误报告。但只要给它一个名字：

    colnames(ret.tot)=c('something')

这是我的 sessionInfo()

R version 2.15.1 (2012-06-22)
Platform: x86_64-pc-linux-gnu (64-bit)

locale:
 [1] LC_CTYPE=en_US.utf8       LC_NUMERIC=C              LC_TIME=en_US.utf8        LC_COLLATE=en_US.utf8     LC_MONETARY=en_US.utf8    LC_MESSAGES=en_US.utf8   
 [7] LC_PAPER=C                LC_NAME=C                 LC_ADDRESS=C              LC_TELEPHONE=C            LC_MEASUREMENT=en_US.utf8 LC_IDENTIFICATION=C      

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] PerformanceAnalytics_1.0.4.4 xts_0.8-6                    zoo_1.7-7                   

loaded via a namespace (and not attached):
[1] grid_2.15.1     lattice_0.20-10 tools_2.15.1
于 2012-10-31T05:17:09.220 回答