R平均值如果基于条件（等级）

Question

我有两个数据帧，股票排名

 structure(list(Date = c("2010-01-31", "2010-02-28", "2010-03-31", 
    "2010-04-30", "2010-05-31", "2010-06-30"), Stock1 = c(1L, 2L, 
    1L, 1L, 4L, 3L), Stock2 = c(2L, 1L, 4L, 2L, 3L, 2L), Stock3 = c(3L, 
    3L, 3L, 3L, 2L, 1L), Stock4 = c(4L, 4L, 2L, 4L, 1L, 4L), Stock5 = c(3L, 
    2L, 1L, 4L, 1L, 2L), Stock6 = c(2L, 1L, 4L, 3L, 2L, 3L), Stock7 = c(1L, 
    2L, 3L, 4L, 1L, 2L), Stock8 = c(4L, 3L, 1L, 2L, 2L, 3L)), class = "data.frame", row.names = c(NA, 
    -6L))

和股票的月回报

structure(list(Date = c("2010-01-31", "2010-02-28", "2010-03-31", 
"2010-04-30", "2010-05-31", "2010-06-30"), Stock1 = c("10%", 
"2%", "3%", "4%", "6%", "3%"), Stock2 = c("-2%", "4%", "-30%", 
"-20%", "10%", "4%"), Stock3 = c("15%", "2%", "3%", "1%", "15%", 
"6%"), Stock4 = c("7%", "19%", "29%", "3%", "1%", "4%"), Stock5 = c("2%", 
"3%", "-2%", "4%", "-30%", "-20%"), Stock6 = c("19%", "29%", 
"15%", "2%", "3%", "1%"), Stock7 = c("1%", "2%", "2%", "4%", 
"1%", "5%"), Stock8 = c("20%", "10%", "20%", "30%", "0%", "60%"
)), class = "data.frame", row.names = c(NA, -6L))

我想要基于股票行列的平均回报率，我的最终结果将是这样的

structure(list(Date = c("2010-01-31", "2010-02-28", "2010-03-31", 
"2010-04-30", "2010-05-31", "2010-06-30"), X1 = c("6%", "17%", 
"7%", "4%", "-9%", "6%"), X2 = c("9%", "2%", "29%", "5%", "6%", 
"-4%"), X3 = c("9%", "6%", "3%", "2%", "10%", "21%"), X4 = c("14%", 
"19%", "-8%", "4%", "6%", "4%")), class = "data.frame", row.names = c(NA, 
-6L))

请帮忙！谢谢！

Answer 1

我们将称之为“rank”对象idxs，以及字符“percentage”对象rets。首先将那些非常不幸的字符值转换为数字：

rets[,-1] <- as.numeric(t( apply(rets[-1], 1, sub, patt="%", repl="") ))
rets[,-1] <- rets[,-1]/100

> rets
        Date Stock1 Stock2 Stock3 Stock4 Stock5 Stock6 Stock7 Stock8
1 2010-01-31   0.10  -0.02   0.15   0.07   0.02   0.19   0.01    0.2
2 2010-02-28   0.02   0.04   0.02   0.19   0.03   0.29   0.02    0.1
3 2010-03-31   0.03  -0.30   0.03   0.29  -0.02   0.15   0.02    0.2
4 2010-04-30   0.04  -0.20   0.01   0.03   0.04   0.02   0.04    0.3
5 2010-05-31   0.06   0.10   0.15   0.01  -0.30   0.03   0.01    0.0
6 2010-06-30   0.03   0.04   0.06   0.04  -0.20   0.01   0.05    0.6

现在，以6 x 4矩阵为每个位置分配基于连续“等级”矩阵值从rets行中选择的项目均值的值：

res <- matrix(NA, 6,4);  
for (rw in 1:nrow(rets) ){ 
            for( rk in 1:4){   # cyckle through possible "ranks"
               res[rw, rk]<- mean(unlist(rets[rw, which(idxs[rw,]==rk)]))
                         }}

> res
            [,1]        [,2]      [,3]        [,4]
[1,]  0.05500000  0.08500000 0.0850000  0.13500000
[2,]  0.16500000  0.02333333 0.0600000  0.19000000
[3,]  0.07000000  0.29000000 0.0250000 -0.07500000
[4,]  0.04000000  0.05000000 0.0150000  0.03666667
[5,] -0.09333333  0.06000000 0.1000000  0.06000000
[6,]  0.06000000 -0.03666667 0.2133333  0.04000000