SMA & large n

[Duny]

Hi List!

I would like to calculate the 377-day simple moving average on closing
prices using the SMA function, but an error is always returned:



SMA(Cl(SPY),n=377)Error in runSum(x, n) : Invalid 'n'



Here is some code in order for you to quickly reproduce what I am doing:



getSymbols("SPY", from='1995-01-01', to='2010-01-01',
index.class=c("POSIXt","POSIXct"))

SPY = to.monthly(SPY, indexAt='endof')

mysma<-SMA(Cl(SPY),n=377)



Thank you very much!



Anna

        [[alternative HTML version deleted]]

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[Joshua Ulrich]

After the call to to.monthly(), SPY only has 180 rows.  Quite simply,
you can't take a 377-period MA of a series that only has 180
observations.
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com



On Tue, Sep 27, 2011 at 7:42 AM, Anna Dunietz <[hidden email]> wrote:

> Hi List!
>
> I would like to calculate the 377-day simple moving average on closing
> prices using the SMA function, but an error is always returned:
>
>
>
> SMA(Cl(SPY),n=377)Error in runSum(x, n) : Invalid 'n'
>
>
>
> Here is some code in order for you to quickly reproduce what I am doing:
>
>
>
> getSymbols("SPY", from='1995-01-01', to='2010-01-01',
> index.class=c("POSIXt","POSIXct"))
>
> SPY = to.monthly(SPY, indexAt='endof')
>
> mysma<-SMA(Cl(SPY),n=377)
>
>
>
> Thank you very much!
>
>
>
> Anna
>
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

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[Dirk Eddelbuettel]

On 27 September 2011 at 14:42, Anna Dunietz wrote:
| I would like to calculate the 377-day simple moving average on closing
| prices using the SMA function, but an error is always returned:
|
|
|
| SMA(Cl(SPY),n=377)Error in runSum(x, n) : Invalid 'n'
|
|
|
| Here is some code in order for you to quickly reproduce what I am doing:
|
|
|
| getSymbols("SPY", from='1995-01-01', to='2010-01-01',
| index.class=c("POSIXt","POSIXct"))
|
| SPY = to.monthly(SPY, indexAt='endof')
|
| mysma<-SMA(Cl(SPY),n=377)

Monthly data from Jan 1995 to Jan 2010 covers 181 months:

   R> mm <- seq(as.Date("1995-01-01"), as.Date("2010-01-01"), by="month")
   R> head(mm)
   [1] "1995-01-01" "1995-02-01" "1995-03-01" "1995-04-01" "1995-05-01" "1995-06-01"
   R> length(mm)
   [1] 181
   R>

You cannot run a moving average of length 377 over 181 observations.  

Maybe the magic number 377 came from daily data and you now want something
like 377 / 21 or about 18?

Dirk

--
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San Francisco (Oct 8), more details / reg.info available at
http://www.revolutionanalytics.com/products/training/public/rcpp-master-class.php

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[BBands]

On Tue, Sep 27, 2011 at 6:02 AM, Dirk Eddelbuettel <[hidden email]> wrote:
> Maybe the magic number 377...

That magic number is the 14th Fibonacci number, which raises an
interesting question. Is there an R resource that allows one to enter
a number and returns a list of which common number series it belongs
to? For example 377 is a member of the Fibonacci series, an odd
number, but it is not prime.

Best,

John

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[David Reiner]

I suppose an interface to Wikipedia might be possible? http://en.wikipedia.org/wiki/377_%28number%29#370s
"377 = 13 × 29, Fibonacci number, sum of the squares of the first six primes."

Not directly in answer to your question, but I have found these sites very useful for decimals and sequences:

Plouffe's Inverter (for decimals) 3.141592653589793238462: http://pi.lacim.uqam.ca/eng/
and
On-Line Encyclopedia of Integer Sequences(tm) (OEIS(tm)): http://oeis.org/

Hope this helps someone sometime,
-- David


-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of BBands
Sent: Tuesday, September 27, 2011 11:51 AM
To: R-sig-finance
Subject: [SPAM] - Re: [R-SIG-Finance] SMA & large n - Email found in subject

On Tue, Sep 27, 2011 at 6:02 AM, Dirk Eddelbuettel <[hidden email]> wrote:
> Maybe the magic number 377...

That magic number is the 14th Fibonacci number, which raises an interesting question. Is there an R resource that allows one to enter a number and returns a list of which common number series it belongs to? For example 377 is a member of the Fibonacci series, an odd number, but it is not prime.

Best,

John

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