Replace values in an xts object according to some events on specific dates in R

Question

I have two signal series and a data series as below.

BuyDates<-seq(as.Date("2013/1/1"), as.Date("2013/3/1"), by = "5 days")

SellDates<-seq(as.Date("2013/1/1"), as.Date("2013/3/1"), by = "7 days")

data<- xts(c(rnorm(32,100,3)),seq(as.Date("2013/1/1"), as.Date("2013/2/1"), by = "days"))

What i want is,the dates on which data gets buy signal from BuyDates,the value of data should be replaced by 1 and for SellDates it should be -1.And,on the remaining days in the sequence,1 or -1 should be carried forward till it gets the opposite signal,and for the days till the 1st signal,value should be replaced with NA.

kindly help

Answer 1

You can subset the data as usual:

data<- xts(rep(NA, 32),seq(as.Date("2013/1/1"), as.Date("2013/2/1"), by = "days"))
data[BuyDates] <- 1
data[SellDates] <- -1

Then you can carry forward the non-NA values using na.locf.

na.locf(data)