Question

I have let say a xts object (data) with following values…

           SPY.Adjusted     SMA
2012-08-02       136.64 137.115
2012-08-03       139.35 137.995
2012-08-06       139.62 139.485
2012-08-07       140.32 139.970
2012-08-08       140.49 140.405
2012-08-09       140.61 140.550
2012-08-10       140.84 140.725

I’m trying to use apply function to append to it the signals if some conditions are met… in this case when the close > SMA. My function:

signal<-function(x,y,z)
  {
    z$signals<-ifelse(x>y,1,0)
  }

and I try to…

apply(data,1,FUN=signal(data$SPY.Adjusted,data$SMA,data))

with returned error:

Error in match.fun(FUN) : 'signal(data$SPY.Adjusted, data$SMA, data)'
  is not a function, character or symbol

What is possibly going wrong? I passed in to it a function which reaches in to the data objected passed into it to create a new column if certain condition is met.

Answer 1

When you call apply with MARGIN=1, it’s like passing each row to FUN. Your function is already vectorized, so you don’t need to use apply. However, your function does not return anything. Try this:

library(quantmod)
getSymbols("SPY", src='yahoo', from='2010-01-01', to='2012-01-01')
dat <- cbind(Ad(SPY), SMA=SMA(Ad(SPY)))
signal<-function(x,y,z)
{
     z$signals<-ifelse(x>y,1,0)
     z
}

tail(signal(dat[, 1], dat[, 2], dat))
#           SPY.Adjusted     SMA signals
#2011-12-22       124.08 121.693       1
#2011-12-23       125.19 121.805       1
#2011-12-27       125.29 122.108       1
#2011-12-28       123.64 122.361       1
#2011-12-29       124.92 122.871       1
#2011-12-30       124.31 123.276       1

Actually, I try to avoid ifelse in situations like these because it is slower than doing this

signal<-function(x,y,z)
{
  z$signals <- 0
  z$signals[x > y] <- 1
  z
}