rquantmodttr

EMA with multiple periods in R

I'm trying to calculate multiple EMA for S&P 500 with different underlying periods.

#get stock data
library(quantmod)
getSymbols("^GSPC", src="yahoo", from="2020-01-01", to="2020-09-30")
SP500 <- GSPC[,"GSPC.Close"]

I know how to do it manually, but this is no satisfying solution.

#Calculate different EMA with different periods
EMA1 <- EMA(SP500, n=1, wilder=F)
EMA2 <- EMA(SP500, n=2, wilder=F)
EMA3 <- EMA(SP500, n=3, wilder=F)
data.frame(SP500, EMA1, EMA2, EMA3)

           GSPC.Close     EMA    EMA.1    EMA.2
2020-01-02    3257.85 3257.85       NA       NA
2020-01-03    3234.85 3234.85 3246.350       NA
2020-01-06    3246.28 3246.28 3246.303 3246.327
2020-01-07    3237.18 3237.18 3240.221 3241.753
2020-01-08    3253.05 3253.05 3248.774 3247.402

Is it possible to count n up while creating a new column for each new EMA? How could that be done?

Additionally, how would you create correct labels for these columns? In the example above EMA.1 corresponds to "EMA2" and so on, which could be confusing. Manually I would do this:

EMA1 <- EMA(SP500, n=1, wilder=F)
EMA2 <- EMA(SP500, n=2, wilder=F)
EMA3 <- EMA(SP500, n=3, wilder=F)
mydata <- data.frame(SP500, EMA1, EMA2, EMA3)
colnames(mydata) <- c("GSPC Close","EMA1","EMA2","EMA3")
mydata
 
           GSPC Close    EMA1     EMA2     EMA3
2020-01-02    3257.85 3257.85       NA       NA
2020-01-03    3234.85 3234.85 3246.350       NA
2020-01-06    3246.28 3246.28 3246.303 3246.327
2020-01-07    3237.18 3237.18 3240.221 3241.753

Thanks everyone!

Solution

  • You can use a for loop and merge everything in the loop. Advantage is that you merge xts objects. Afterwards you can transform this into a data.frame if you want to.

    n = c(1:3, 5) # choose the number of EMA periods

for(i in n) {
  var <- EMA(SP500$GSPC.Close, n = i, wilder = FALSE) # create the EMA
  var <- setNames(var, paste0("EMA", i)) # rename the variable
  SP500 <- merge(SP500, var) # merge with original
}

head(SP500) # SP500 is still an xts object

           GSPC.Close    EMA1     EMA2     EMA3     EMA5
2020-01-02    3257.85 3257.85       NA       NA       NA
2020-01-03    3234.85 3234.85 3246.350       NA       NA
2020-01-06    3246.28 3246.28 3246.303 3246.327       NA
2020-01-07    3237.18 3237.18 3240.221 3241.753       NA
2020-01-08    3253.05 3253.05 3248.774 3247.402 3245.842
2020-01-09    3274.70 3274.70 3266.058 3261.051 3255.461