tidyquant: excel_stat_summary_functions – R documentation

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excel_stat_summary_functions

Excel Statistical Summary Functions

Description

15+ common statistical functions familiar to users of Excel (e.g. SUM(), AVERAGE()). These functions return a single value (i.e. a vector of length 1).

These functions are designed to help users coming from an Excel background. Most functions replicate the behavior of Excel:

Names in most cases match Excel function names
Functionality replicates Excel
By default, missing values are ignored (same as in Excel)

Usage

SUM(x)

AVERAGE(x)

MEDIAN(x)

MIN(x)

MAX(x)

COUNT(x)

COUNT_UNIQUE(x)

STDEV(x)

VAR(x)

COR(x, y)

COV(x, y)

FIRST(x)

LAST(x)

NTH(x, n = 1)

CHANGE_FIRSTLAST(x)

PCT_CHANGE_FIRSTLAST(x)

Arguments

`x`	A vector. Most functions are designed for numeric data. Some functions like `COUNT()` handle multiple data types.
`y`	A vector. Used in functions requiring 2 inputs.
`n`	A single value used in `NTH()` to select a specific element location to return.

Details

Summary Functions

All functions remove missing values (NA). This is the same behavior as in Excel and most commonly what is desired.

Value

Summary functions return a single value

Useful functions

Summary Functions - Return a single value from a vector

Sum: SUM()
Center: AVERAGE(), MEDIAN()
Spread: STDEV(), VAR()
Range: MIN(), MAX()
Count: COUNT(), COUNT_UNIQUE()
Position: FIRST(), LAST(), NTH()
Change (Summary): CHANGE_FIRSTLAST(), PCT_CHANGE_FIRSTLAST()
Correlation: COR(), COV()

Examples

# Libraries
library(tidyquant)
library(timetk)
library(tidyverse)
library(forcats)

# --- Basic Usage ----

SUM(1:10)

PCT_CHANGE_FIRSTLAST(c(21, 24, 22, 25))

# --- Usage with tidyverse ---

# Go from daily to monthly periodicity,
# then calculate returns and growth of $1 USD
FANG %>%
    mutate(symbol = as_factor(symbol)) %>%
    group_by(symbol) %>%

    # Summarization - Collapse from daily to FIRST value by month
    summarise_by_time(
        .date_var  = date,
        .by        = "month",
        adjusted   = FIRST(adjusted)
    )

tidyquant

Tidy Quantitative Financial Analysis

v1.0.3

MIT + file LICENSE

Authors

Matt Dancho [aut, cre], Davis Vaughan [aut]

Initial release