Vtyjkyuk

I'm new to R and have been struggling with the following for a while now so I was hoping someone would be able to help me out.

The sample data represents stock price returns (each row is a monthly period). The real data set is much bigger and is structured like the input below:

Input:

stock1 <- c(0.01, -0.02, 0.01, 0.05, 0.04, -0.02)
stock2 <- c(0, 0, 0.02, 0.04, -0.03, 0.02)
stock3 <- c(0, 0, 0.02, 0, -0.01, 0.03)
stock4 <- c(0, -0.02, 0.01, 0, 0, -0.02)
df <- cbind(stock1,stock2,stock3,stock4)

 stock1 stock2 stock3 stock4
[1,] 0.01 0.00 0.00 0.00
[2,] -0.02 0.00 0.00 -0.02
[3,] 0.01 0.02 0.02 0.01
[4,] 0.05 0.04 0.00 0.00
[5,] 0.04 -0.03 -0.01 0.00
[6,] -0.02 0.02 0.03 -0.02

Any zeroes that precedes a non-zero for a given stock represents missing data as opposed to a return of zero for the period. I would like to set these values as NA so the output I would like to achieve is the following:

Desired Output:

stock1 <- c(0.01, -0.02, 0.01, 0.05, 0.04, -0.02)
stock2 <- c(NA, NA, 0.02, 0.04, -0.03, 0.02)
stock3 <- c(NA, NA, 0.02, 0, -0.01, 0.03)
stock4 <- c(NA, -0.02, 0.01, 0, 0, -0.02)
df <- cbind(stock1,stock2,stock3,stock4)

 stock1 stock2 stock3 stock4
[1,] 0.01 NA NA NA
[2,] -0.02 NA NA -0.02
[3,] 0.01 0.02 0.02 0.01
[4,] 0.05 0.04 0.00 0.00
[5,] 0.04 -0.03 -0.01 0.00
[6,] -0.02 0.02 0.03 -0.02

I've tried a few things but they only seem to work for a single vector as opposed to a data set with multiple columns. I've tried using lapply to get around this but haven't had any luck so far. The closest I've gotten is shown below.

My single vector solution:

stock1[1:min(which(stock1!=0))-1 <- NA

My multiple vector solution which does not work:

lapply(df,function(x) x[1:min(which(x!=0))-1 <- NA]

Would greatly appreciate any guidance! Thanks!

There are three issues. First, writing:

df <- cbind(stock1,stock2,stock3,stock4)

doesn't create a data frame. It creates a matrix. This is an issue when you try to use lapply, which will operate over the columns of a data frame but over the elements of a matrix. Instead, you should write:

df <- data.frame(stock1,stock2,stock3,stock4)

Second, the function you're using in lapply needs to return the modified vector. Otherwise, the return value will be something unexpected (in this case, the assignment will return a single NA, and the lapply will return a data frame of one row of NAs instead of the data frame you want).

Third, you need to take care with 1:n when n can be zero (i.e., when the first stock quote is non-zero) because 1:0 gives the sequence c(1,0) instead of an empty sequence. (This is arguably one of R's stupidest features.)

Therefore, the following will give you what you want:

stock1 <- c(0.01, -0.02, 0.01, 0.05, 0.04, -0.02)
stock2 <- c(0, 0, 0.02, 0.04, -0.03, 0.02)
stock3 <- c(0, 0, 0.02, 0, -0.01, 0.03)
stock4 <- c(0, -0.02, 0.01, 0, 0, -0.02)
df <- data.frame(stock1,stock2,stock3,stock4)

as.data.frame(lapply(df, function(x) 
 n <- min(which(x != 0)) - 1
 if (n > 0)
 x[1:n] <- NA
 x
))

The output is as expected:

 stock1 stock2 stock3 stock4
1 0.01 NA NA NA
2 -0.02 NA NA -0.02
3 0.01 0.02 0.02 0.01
4 0.05 0.04 0.00 0.00
5 0.04 -0.03 -0.01 0.00
6 -0.02 0.02 0.03 -0.02

Update: As @Daniel_Fischer notes, there's a clever trick to avoid the 1:0 problem. You can instead write:

as.data.frame(lapply(df, function(x) 
 n <- min(which(x != 0)) - 1
 x[0:n] <- NA # use 0:n instead of 1:n
 x
))

This takes advantage of the fact that R ignores zeros in this type of indexing operation, so:

x[0:0] <- NA # same as x[0] <- NA and does nothing
x[0:1] <- NA # same as x[1] <- NA
x[0:2] <- NA # same as x[1:2] <- NA, etc.

This might be not the most elegant way, but I think it works

changeValues <- function(x)
 place <- min(which(diff(c(0,cumsum(x==0)))==0))-1;
 x[0:place] <- NA
 x


apply(df,2,changeValues)

EDIT: Some brief explanation to the function: First I create a vector that increases at each position where is a zero in your column, then I check at which position this vector does not increase (=that means, there are not two zeros next to each other) and then I still take the minimum of that and make sure that these are only leading zeros (so that not values from within the matrix are changed)

stock1 <- c(0.01, -0.02, 0.01, 0.05, 0.04, -0.02)
stock2 <- c(0, 0, 0.02, 0.04, -0.03, 0.02)
stock3 <- c(0, 0, 0.02, 0, -0.01, 0.03)
stock4 <- c(0, -0.02, 0.01, 0, 0, -0.02)
df <- data.frame(stock1,stock2,stock3,stock4) #the following function only works if df is actually a data.frame

df <- lapply(df, function(x) ifelse(cumsum(x) == 0 & x == 0, NA, x))

df

 stock1 stock2 stock3 stock4
1 0.01 NA NA NA
2 -0.02 NA NA -0.02
3 0.01 0.02 0.02 0.01
4 0.05 0.04 0.00 0.00
5 0.04 -0.03 -0.01 0.00
6 -0.02 0.02 0.03 -0.02

Some explanation: first check for each cell whether the cumulative colSum ánd the current cell are equal to 0. If so, return NA, else the original value. The brackets behind df make sure the lapply function returns a dataframe again that is assigned to df.

Also, if you don't really need df to be a dataframe, this works as well:

df <- cbind(stock1,stock2,stock3,stock4)
apply(df, 2, function(x) ifelse(cumsum(x) == 0 & x == 0, NA, x))