[5] User-Defined Functions

Sum

Create the following r source file on a certain directory.

SumF.r

SumF <- function(a,b){   return(a+b) }

sample code(s)

# specify the path to the .r file sf <- "H:/Quantitative Research/R/SumF.r" sf # load and run the code from the file source(sf) SumF(1,2)

[1] 3

---

Mean (average)

Create the following r source file on a certain directory.

MeanF.r

MeanF <- function(a,b){   return(mean(c(a,b))) }

sample code(s)

# specify the path to the .r file mf <- "H:/Quantitative Research/R/MeanF.r" mf # load and run the code from the file source(mf) MeanF(1,2)

[1] 1.5

---

[4] Predefined Functions

Sum

sample code(s)

m <- sum(c(2,4,9)) m

[1] 15

---

Mean

sample code(s)

m <- mean(c(2,4,9)) m

[1] 5

---

[3] Data Types

Number

sample code(s)

x <- 1 y <- 2 x + y

[1] 3

---

Vector
(1-dimension)

sample code(s)

v1 <- c(2,4,6) v1

[1] 2 4 6

sample code(s)

v1[3]

[1] 6

sample code(s)

v2 <- c("a","b","c") v2

[1] "a" "b" "c"

sample code(s)

v2[3]

[1] "c"

sample code(s)

# One vector cannot contain both numbers and characters. When they're mixed, then all is regarded as characters. v3 <- c(1,"b","c") v3

[1] "1" "b" "c"

sample code(s)

v3[1]

[1] "1"

sample code(s)

v3[3]

[1] "c"

---

Matrix
(2-dimension)

sample code(s)

# default: column 1 first matCol1 <- matrix(c(1, 2, 3, 4, 5, 6), nrow = 2, ncol = 3) matCol1

[,1] [,2] [,3] [1,]    1    3    5 [2,]    2    4    6

sample code(s)

# byrow = TRUE: row 1 first matRow1 <- matrix(c(1, 2, 3, 4, 5, 6), nrow = 2, ncol = 3, byrow = TRUE) matRow1

[,1] [,2] [,3] [1,]    1    2    3 [2,]    4    5    6

---

Data Frame
(2-dimension; mixed structure of numbers and characters)

sample code(s)

df <- data.frame(symbol = c("AAPL", "GOOG", "GS"), action = c("Buy", "Buy", "Sell"), price = c(127.17, 532.33, 213.06), shares = c(500,100,500)) df

symbol action  price shares 1   AAPL    Buy 127.17    500 2   GOOG    Buy 532.33    100 3     GS   Sell 213.06    500

sample code(s)

df[2,3]

[1] 532.33

---

List
("A matrix which can contain any form of data like number, vector, matrix, and even a data frame.")

sample code(s)

l <- list(a = c(1, 2), b = matrix(1:6, nrow = 2, ncol = 3), c = data.frame(symbol = c("AAPL", "GOOG", "GS"), action = c("Buy", "Buy", "Sell"), price = c(127.17, 532.33, 213.06), shares = c(500,100,500))) l

$a [1] 1 2 $b      [,1] [,2] [,3] [1,]    1    3    5 [2,]    2    4    6 $c   symbol action  price shares 1   AAPL    Buy 127.17    500 2   GOOG    Buy 532.33    100 3     GS   Sell 213.06    500

sample code(s)

# The same result above. l2 <- list(a = c(1, 2), b = matrix(1:6, nrow = 2, ncol = 3), c = df) l2

[2] Sourcing Libraries

Create the following r source file on a certain directory.

hello.r

print("Hello")

---

source()
Show files / directories on the current directory.

sample code(s)

# specify the path to the .r file fileName <- "H:/Quantitative Research/R/hello.r" # load and run the code from the file source(fileName)

[1] "Hello"

---

library()

• When you want to load the newly installed packages and use them in the new workspace, then use library().
• Create the following setup.r file and run it.

setup.r

# setup libraries # xts: a timeseries package library(xts) library(TTR) # quantmod: extended graphing functionality; works well with xts library(quantmod) library(PerformanceAnalytics) library(zoo) # ========== Optimization ========== library(quadprog) library(timeDate) library(timeSeries) library(fBasics) library(fAssets) library(fMultivar) library(robustbase) library(DEoptimR) library(ecodist) library(mvnormtest) library(energy) library(sn) library(mnormt) library(numDeriv) library(fCopulae) library(Rglpk) library(slam) library(Rsymphony) library(Rsolnp) library(truncnorm) library(kernlab) library(rneos) library(XML) library(RCurl) library(bitops) library(fPortfolio) library(stockPortfolio) library(ggplot2) library(reshape2) library(digest) library(gtable) library(plyr) library(Rcpp) library(proto) library(stringr) library(stringi) library(magrittr) library(scales) library(munsell) library(colorspace) library(labeling)

sample code(s)

# There could be an error saying "'PerformanceAnalytics' is built prior to R 3.0.0" or something, but please ignore it. setupFile <- "H:/Quantitative Research/R/setup.r" source(setupFile)

---

[1] Directories

setwd
Change a current directory.

sample code(s)

# Use a backslash(\) as a directory separator, not a slash(/). setwd("H:/Quantitative Research/R")

---

dir()
Show files / directories on the current directory.

sample code(s)

# If there is no fine on the current directory. dir()

character(0)

---

getwd()
Show the current directory.

sample code(s)

getwd()

[1] "H:/Quantitative Research/R"

[0] Intro

<My computing environment>

OS: Mac OS X Yosemite Version 10.10.3

You should be able to get sample codes on this blog tested, on the Windows environment as well. Please install the appropriate files/packages, based on your computer environment.

---

<R Sources/Binaries on CRAN>

• Download the following R binary and install it.

R 3.2.0 binary for Mac OS X 10.9 (Mavericks) and higher, signed package.
R-3.2.0.pkg

---

<Packages on CRAN>

• Download the following R packages.

# From [1] to [10]

PerformanceAnalytics: Econometric tools for performance and risk analysis
http://cran.r-project.org/web/packages/PerformanceAnalytics/index.html

Windows binaries:

r-release: PerformanceAnalytics_1.4.3541.zip

OS X Mavericks binaries:  r-release: PerformanceAnalytics_1.4.3541.tgz

quantmod:Quantitative Financial Modelling Framework
http://cran.r-project.org/web/packages/quantmod/index.html

Windows binaries:

r-release: quantmod_0.4-4.zip

OS X Mavericks binaries:  r-release: quantmod_0.4-4.tgz

xts: eXtensible Time Series
http://cran.r-project.org/web/packages/xts/index.html

Windows binaries:

r-release: xts_0.9-7.zip

OS X Mavericks binaries:  r-release: xts_0.9-7.tgz

zoo: S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations)
cran.r-project.org/package=zoo

Windows binaries:

r-release: zoo_1.7-12.zip

OS X Mavericks binaries:  r-release: zoo_1.7-12.tgz

TTR: Technical Trading Rules
cran.r-project.org/package=TTR

Windows binaries:	r-release: TTR_0.22-0.zip
OS X Mavericks binaries:	r-release: TTR_0.22-0.tgz

# [11] Portfolio Optimization

quadprog: Functions to solve Quadratic Programming Problems
http://cran.r-project.org/web/packages/quadprog/index.html

Windows binaries:	r-release: quadprog_1.5-5.zip
OS X Mavericks binaries:	r-release: quadprog_1.5-5.tgz

timeDate: Rmetrics - Chronological and Calendar Objects
http://cran.r-project.org/package=timeDate

Windows binaries:	r-release: timeDate_3012.100.zip
OS X Mavericks binaries:	r-release: timeDate_3012.100.tgz

timeSeries: Rmetrics - Financial Time Series Objects
http://cran.r-project.org/package=timeSeries

Windows binaries:	r-release: timeSeries_3012.99.zip
OS X Mavericks binaries:	r-release: timeSeries_3012.99.tgz

fBasics: Rmetrics - Markets and Basic Statistics
http://cran.r-project.org/package=fBasics

Windows binaries:	r-release: fBasics_3011.87.zip
OS X Mavericks binaries:	r-release: fBasics_3011.87.tgz

fAssets: Rmetrics - Analysing and Modelling Financial Assets
http://cran.r-project.org/package=fAssets

Windows binaries:	r-release: fAssets_3011.83.zip
OS X Mavericks binaries:	r-release: fAssets_3011.83.tgz

fMultivar: Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions
http://cran.r-project.org/package=fMultivar

Windows binaries:	r-release: fMultivar_3011.78.zip
OS X Mavericks binaries:	r-release: fMultivar_3011.78.tgz

robustbase: Basic Robust Statistics
http://cran.r-project.org/package=robustbase

Windows binaries:	r-release: robustbase_0.92-4.zip
OS X Mavericks binaries:	r-release: robustbase_0.92-4.tgz

DEoptimR: Differential Evolution Optimization in pure R
http://cran.r-project.org/package=DEoptimR

Windows binaries:	r-release: DEoptimR_1.0-2.zip
OS X Mavericks binaries:	r-release: DEoptimR_1.0-2.tgz

ecodist: Dissimilarity-based functions for ecological analysis
http://cran.r-project.org/package=ecodist

Windows binaries:	r-release: ecodist_1.2.9.zip
OS X Mavericks binaries:	r-release: ecodist_1.2.9.tgz

mvnormtest: Normality test for multivariate variables
http://cran.r-project.org/package=mvnormtest

Windows binaries:	r-release: mvnormtest_0.1-9.zip
OS X Mavericks binaries:	r-release: mvnormtest_0.1-9.tgz

energy: E-statistics (energy statistics)
http://cran.r-project.org/package=energy

Windows binaries:	r-release: energy_1.6.2.zip
OS X Mavericks binaries:	r-release: energy_1.6.2.tgz

sn: The Skew-Normal and Skew-t Distributions
http://cran.r-project.org/package=sn

Windows binaries:	r-release: sn_1.2-2.zip
OS X Mavericks binaries:	r-release: sn_1.2-2.tgz

mnormt: The Multivariate Normal and t Distributions
http://cran.r-project.org/package=mnormt

Windows binaries:	r-release: mnormt_1.5-3.zip
OS X Mavericks binaries:	r-release: mnormt_1.5-3.tgz

numDeriv: Accurate Numerical Derivatives
http://cran.r-project.org/package=numDeriv

Windows binaries:	r-release: numDeriv_2014.2-1.zip
OS X Mavericks binaries:	r-release: numDeriv_2014.2-1.tgz

fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae
http://cran.r-project.org/package=fCopulae

Windows binaries:	r-release: fCopulae_3011.81.zip
OS X Mavericks binaries:	r-release: fCopulae_3011.81.tgz

Rglpk: R/GNU Linear Programming Kit Interface
http://cran.r-project.org/package=Rglpk

Windows binaries:	r-release: Rglpk_0.6-1.zip
OS X Mavericks binaries:	r-release: Rglpk_0.6-1.tgz

slam: Sparse Lightweight Arrays and Matrices
http://cran.r-project.org/package=slam

Windows binaries:	r-release: slam_0.1-32.zip
OS X Mavericks binaries:	r-release: slam_0.1-32.tgz

Rsymphony: SYMPHONY in R
http://cran.r-project.org/package=Rsymphony

Windows binaries:	r-release: Rsymphony_0.1-21.zip
OS X Snow Leopard binaries:	r-oldrel: Rsymphony_0.1-17.tgz
OS X Mavericks binaries:	r-release: not available

Rsolnp: General Non-linear Optimization
http://cran.r-project.org/package=Rsolnp

Windows binaries:	r-release: Rsolnp_1.15.zip
OS X Mavericks binaries:	r-release: Rsolnp_1.15.tgz

truncnorm: Truncated normal distribution
http://cran.r-project.org/package=truncnorm

Windows binaries:	r-release: truncnorm_1.0-7.zip
OS X Mavericks binaries:	r-release: truncnorm_1.0-7.tgz

kernlab: Kernel-based Machine Learning Lab
http://cran.r-project.org/package=kernlab

Windows binaries:	r-release: kernlab_0.9-20.zip
OS X Mavericks binaries:	r-release: kernlab_0.9-20.tgz

rneos: rneos: XML-RPC Interface to NEOS
http://cran.r-project.org/package=rneos

Windows binaries:	r-release: rneos_0.2-8.zip
OS X Mavericks binaries:	r-release: rneos_0.2-8.tgz

XML: Tools for Parsing and Generating XML Within R and S-Plus
http://cran.r-project.org/package=XML

Windows binaries:	r-release: XML_3.98-1.3.zip
OS X Mavericks binaries:	r-release: XML_3.98-1.3.tgz

RCurl: General Network (HTTP/FTP/...) Client Interface for R
http://cran.r-project.org/package=RCurl

Windows binaries:	r-release: RCurl_1.95-4.7.zip
OS X Mavericks binaries:	r-release: RCurl_1.95-4.7.tgz

bitops: Bitwise Operations
http://cran.r-project.org/package=bitops

Windows binaries:	r-release: bitops_1.0-6.zip
OS X Mavericks binaries:	r-release: bitops_1.0-6.tgz

fPortfolio: Rmetrics - Portfolio Selection and Optimization
http://cran.r-project.org/package=fPortfolio

Windows binaries:	r-release: fPortfolio_3011.81.zip
OS X Snow Leopard binaries:	r-oldrel: fPortfolio_3011.81.tgz
OS X Mavericks binaries:	r-release: not available

stockPortfolio: Build stock models and analyze stock portfolios
http://cran.r-project.org/web/packages/stockPortfolio/index.html

Windows binaries:

r-release: stockPortfolio_1.2.zip

OS X Mavericks binaries:

r-release: stockPortfolio_1.2.tgz

ggplot2: An Implementation of the Grammar of Graphics
http://cran.r-project.org/web/packages/ggplot2/index.html

Windows binaries:	r-release: ggplot2_1.0.1.zip
OS X Mavericks binaries:	r-release: ggplot2_1.0.1.tgz

reshape2: Flexibly Reshape Data: A Reboot of the Reshape Package

http://cran.r-project.org/web/packages/reshape2/index.html

Windows binaries:	r-release: reshape2_1.4.1.zip
OS X Mavericks binaries:	r-release: reshape2_1.4.1.tgz

digest: Create Cryptographic Hash Digests of R Objects
http://cran.r-project.org/web/packages/digest/index.html

Windows binaries:	r-release: digest_0.6.8.zip
OS X Mavericks binaries:	r-release: digest_0.6.8.tgz

gtable: Arrange grobs in tables
http://cran.r-project.org/web/packages/gtable/index.html

Windows binaries:	r-release: gtable_0.1.2.zip
OS X Mavericks binaries:	r-release: gtable_0.1.2.tgz

plyr: Tools for Splitting, Applying and Combining Data
http://cran.r-project.org/web/packages/plyr/index.html

Windows binaries:	r-release: plyr_1.8.3.zip
OS X Mavericks binaries:	r-release: plyr_1.8.3.tgz

Rcpp: Seamless R and C++ Integration
http://cran.r-project.org/web/packages/Rcpp/index.html

Windows binaries:	r-release: Rcpp_0.11.6.zip
OS X Mavericks binaries:	r-release: Rcpp_0.11.6.tgz

proto: Prototype object-based programming
http://cran.r-project.org/web/packages/proto/index.html

Windows binaries:	r-release: proto_0.3-10.zip
OS X Mavericks binaries:	r-release: proto_0.3-10.tgz

stringr: Simple, Consistent Wrappers for Common String Operations
http://cran.r-project.org/web/packages/stringr/index.html

Windows binaries:	r-release: stringr_1.0.0.zip
OS X Mavericks binaries:	r-release: stringr_1.0.0.tgz

stringi: Character String Processing Facilities
http://cran.r-project.org/web/packages/stringi/index.html

Windows binaries:	r-release: stringi_0.5-5.zip
OS X Mavericks binaries:	r-release: stringi_0.5-5.tgz

magrittr: A Forward-Pipe Operator for R
http://cran.r-project.org/web/packages/magrittr/index.html

Windows binaries:	r-release: magrittr_1.5.zip
OS X Mavericks binaries:	r-release: magrittr_1.5.tgz

scales: Scale Functions for Visualization
http://cran.r-project.org/web/packages/scales/index.html

Windows binaries:	r-release: scales_0.2.5.zip
OS X Mavericks binaries:	r-release: scales_0.2.5.tgz

munsell: Munsell colour system
http://cran.r-project.org/web/packages/munsell/index.html

Windows binaries:

r-release: munsell_0.4.2.zip

OS X Mavericks binaries:

r-release: munsell_0.4.2.tgz

colorspace: Color Space Manipulation
http://cran.r-project.org/web/packages/colorspace/index.html

Windows binaries:

r-release: colorspace_1.2-6.zip

OS X Mavericks binaries:

r-release: colorspace_1.2-6.tgz

labeling: Axis Labeling

http://cran.r-project.org/web/packages/labeling/index.html

Windows binaries:	r-release: labeling_0.3.zip
OS X Mavericks binaries:	r-release: labeling_0.3.tgz

---

install.packages()

• Start the installed R console and then install packages (Unlike library() below, it's one-time procedure and you do not need to do it again.).

install.packages(path_to_file, repos = NULL, type="source")

sample codes (Mac OS X)

install.packages("~/Google Drive/Finance/R/PerformanceAnalytics_1.4.3541.tar", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/quantmod_0.4-4.tar", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/xts_0.9-7.tar", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/zoo_1.7-12.tar", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/TTR_0.22-0.tgz", repos = NULL, type="source") # [11] Portfolio Optimization install.packages("~/Google Drive/Finance/R/fPortfolio_3011.81.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/quadprog_1.5-5.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/timeDate_3012.100.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/timeSeries_3012.99.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/fBasics_3011.87.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/fAssets_3011.83.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/fMultivar_3011.78.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/robustbase_0.92-4.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/DEoptimR_1.0-2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/ecodist_1.2.9.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/mvnormtest_0.1-9.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/energy_1.6.2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/sn_1.2-2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/mnormt_1.5-3.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/numDeriv_2014.2-1.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/fCopulae_3011.81.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/Rglpk_0.6-1.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/slam_0.1-32.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/Rsymphony_0.1-17.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/Rsolnp_1.15.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/truncnorm_1.0-7.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/kernlab_0.9-20.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/rneos_0.2-8.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/XML_3.98-1.3.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/RCurl_1.95-4.7.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/bitops_1.0-6.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/stockPortfolio_1.2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/ggplot2_1.0.1.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/reshape2_1.4.1.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/digest_0.6.8.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/gtable_0.1.2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/plyr_1.8.3.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/Rcpp_0.11.6.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/proto_0.3-10.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/stringr_1.0.0.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/stringi_0.5-5.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/magrittr_1.5.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/scales_0.2.5.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/munsell_0.4.2.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/colorspace_1.2-6.tgz", repos = NULL, type="source") install.packages("~/Google Drive/Finance/R/labeling_0.3.tgz", repos = NULL, type="source")

---