I have a time-indexed matrix (xts object) and I want only the fourth Wednesday of every November.
require(quantmod)
getSymbols("^GSPC", from="1900-01-01") #returns GSPC
GSPC$WED <- weekdays(time(GSPC)) == "Wednesday"
GSPC$NOV <- months(time(GSPC)) == "November"
G <- GSPC[GSPC$WED==1 & GSPC$NOV==1]
That's as far as I got in R. To solve my problem I punted up to bash.
write.zoo(G, "wen_in_nov")
I did the following hack:
cat wen_in_nov |
grep -v IND |
cut -c 1-10 |
sed 's/-/ /g' |
awk '{if($3 >= 22 && $3 < 29) print $1, $2, $3, "winner"}' |
sed 's/ /-/g' > fourth_wen
The fourth_wen file needs to separate the - from the string 'winner' so I just did that in vi. Importing into back to R:
fourth_wen <- read.zoo("fourth_wen", format="%Y-%m-%d")
And that essentially is the fourth Wednesday in November since 1950. Is there a way to do it all in R with less code?
Use .indexmon etc to access the POSIXlt values directly
GSPC[.indexmon(GSPC)==10 & .indexmday(GSPC) > 22 & .indexmday(GSPC) < 29
&.indexwday(GSPC) == 3]
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2007-11-28 1432.95 1471.62 1432.95 1469.02 4508020000 1469.02
2008-11-26 852.90 887.68 841.37 887.68 5793260000 887.68
2009-11-25 1106.49 1111.18 1104.75 1110.63 3036350000 1110.63
2010-11-24 1183.70 1198.62 1183.70 1198.35 3384250000 1198.35
2011-11-23 1187.48 1187.48 1161.79 1161.79 3798940000 1161.79
My RcppBDT package has a function for this.
RcppBDT wraps parts of the Boost Date_Time library, and Boost Date_Time happens to have a number of functions like that. So here is a quick loop for years 2008 to 2011, getting each year's fourth Wednesday in November:
R> library(RcppBDT)
Loading required package: Rcpp
Creating a generic function for ‘print’ from package ‘base’ in package ‘RcppBDT’
Creating a generic function for ‘format’ from package ‘base’ in package ‘RcppBDT’
R> for (y in 2008:2011) print(getNthDayOfWeek(fourth, Wed, Nov, y))
[1] "2008-11-26"
[1] "2009-11-25"
[1] "2010-11-24"
[1] "2011-11-23"
R>
Here fourth, Wed and Nov are constants in the package namespace, modeled after corresponding enum types in the underlying C++ library. Makes for pretty easy use.
Edit: Here is a complete example for all 4th-Wed-in-Nov since 2000. I ensure that both the GSPC and the vector Wed of Wednesdays agree on the same Date type. Then it is just a matter of sticking Wed into GSPC:
R> library(quantmod)
Loading required package: Defaults
Loading required package: TTR
R> getSymbols("^GSPC", from="1900-01-01")
R> Wed <- sapply(2000:2011, function(y) getNthDayOfWeek(fourth, Wed, Nov, y))
R> index(GSPC) <- as.Date(index(GSPC))
R> GSPC[as.Date(Wed)]
GSPC.Open GSPC.High GSPC.Low GSPC.Close GSPC.Volume GSPC.Adjusted
2000-11-22 1347.35 1347.35 1321.89 1322.36 963200000 1322.36
2001-11-28 1149.50 1149.50 1128.29 1128.52 1423700000 1128.52
2002-11-27 913.31 940.41 913.31 938.87 1350300000 938.87
2003-11-26 1053.89 1058.45 1048.28 1058.45 1097700000 1058.45
2004-11-24 1176.94 1182.46 1176.94 1181.76 1149600000 1181.76
2005-11-23 1261.23 1270.64 1259.51 1265.61 1985400000 1265.61
2006-11-22 1402.69 1407.89 1402.26 1406.09 2237710000 1406.09
2007-11-28 1432.95 1471.62 1432.95 1469.02 4508020000 1469.02
2008-11-26 852.90 887.68 841.37 887.68 5793260000 887.68
2009-11-25 1106.49 1111.18 1104.75 1110.63 3036350000 1110.63
2010-11-24 1183.70 1198.62 1183.70 1198.35 3384250000 1198.35
2011-11-23 1187.48 1187.48 1161.79 1161.79 3798940000 1161.79
R>
Edit 2 As a Public Servive Announcement, here is where Jeff's answer fails:
R> ind <- .indexmon(GSPC)==10 & .indexmday(GSPC) > 22 & .indexmday(GSPC) < 29
+ & .indexwday(GSPC) == 3
R> index(GSPC)[ind]
[1] "1951-11-28" "1952-11-26" "1953-11-25" "1954-11-24" "1955-11-23"
[6] "1956-11-28" "1957-11-27" "1958-11-26" "1959-11-25" "1960-11-23"
[11] "1962-11-28" "1963-11-27" "1964-11-25" "1965-11-24" "1966-11-23"
[16] "1968-11-27" "1969-11-26" "1970-11-25" "1971-11-24" "1973-11-28"
[21] "1974-11-27" "1975-11-26" "1976-11-24" "1977-11-23" "1979-11-28"
[26] "1980-11-26" "1981-11-25" "1982-11-24" "1983-11-23" "1984-11-28"
[31] "1985-11-27" "1986-11-26" "1987-11-25" "1988-11-23" "1990-11-28"
[36] "1991-11-27" "1992-11-25" "1993-11-24" "1994-11-23" "1996-11-27"
[41] "1997-11-26" "1998-11-25" "1999-11-24" "2001-11-28" "2002-11-27"
[46] "2003-11-26" "2004-11-24" "2005-11-23" "2007-11-28" "2008-11-26"
[51] "2009-11-25" "2010-11-24" "2011-11-23"
and
R> S <- 1951:2011
R> S[!S %in% as.numeric(format(index(GSPC)[ind], "%Y")) ]
[1] 1961 1967 1972 1978 1989 1995 2000 2006
R>
So there are eight years missing in the sample of sixty when you use his approach.
Here is one way
nov_dates <- expand.grid(1:30, 11, 1900:2011)
nov_dates <- apply(nov_dates, 1, paste, collapse = "-")
nov_dates <- dmy(nov_dates)
nov_wed <- nov_dates[wday(nov_dates, label = TRUE) == 'Wed']
nov_4wed <- nov_wed[seq_along(nov_wed) %% 4 == 0]
EDIT. a small bug remains. if a november has 5 wednesdays, this code does not work. a minor correction will take care of it and i will post it soon. Here is a solution that works correctly
library(plyr)
library(lubridate)
nov_dates <- expand.grid(day = 1:30, month = 11, year = 1900:2011)
nov_dates <- transform(nov_dates,
date = dmy(paste(day, month, year, sep = "-"))
nov_4_wed <- ddply(nov_dates, .(year), summarize, date[wday(date) == 4][4])
I don't spend a lot of time with time series objects, so there may be a better function than using substr to extract the day (in fact, I'm sure there is, I just don't know it off the top of my head). But this seems to work:
rs <- subset(GSPC,weekdays(time(GSPC)) == "Wednesday" &
months(time(GSPC)) == "November" &
as.numeric(substr(time(GSPC),9,10)) >= 22 &
as.numeric(substr(time(GSPC),9,10)) < 29)
来源：https://stackoverflow.com/questions/8246990/get-the-4th-wednesday-of-each-november-in-r