I’m trying to calculate the maximum winning and losing streak in a dataset (i.e. the highest number of consecutive positive or negative values). I’ve found a somewhat related question here on StackOverflow and even though that gave me some good suggestions, the angle of that question is different, and I’m not (yet) experienced enough to translate and apply that information to this problem. So I was hoping you could help me out, even an suggestion would be great.
My data set look like this:
> subRes
Instrument TradeResult.Currency.
1 JPM -3
2 JPM 264
3 JPM 284
4 JPM 69
5 JPM 283
6 JPM -219
7 JPM -91
8 JPM 165
9 JPM -35
10 JPM -294
11 KFT -8
12 KFT -48
13 KFT 125
14 KFT -150
15 KFT -206
16 KFT 107
17 KFT 107
18 KFT 56
19 KFT -26
20 KFT 189
> split(subRes[,2],subRes[,1])
$JPM
[1] -3 264 284 69 283 -219 -91 165 -35 -294
$KFT
[1] -8 -48 125 -150 -206 107 107 56 -26 189
In this case, the maximum (winning) streak for JPM is four (namely the 264, 284, 69 and 283 consecutive positive results) and for KFT this value is 3 (107, 107, 56).
My goal is to create a function which gives the maximum winning streaks per instrument (i.e. JPM: 4, KFT: 3). To achieve that:
R needs to compare the current result with the previous result, and if it is higher then there is a streak of at least 2 consecutive positive results. Then R needs to look at the next value, and if this is also higher: add 1 to the already found value of 2. If this value isn’t higher, R needs to move on to the next value, while remembering 2 as the intermediate maximum.
I’ve tried cumsum and cummax in accordance with conditional summing (like cumsum(c(TRUE, diff(subRes[,2]) > 0))), which didn’t work out. Also rle in accordance with lapply (like lapply(rle(subRes$TradeResult.Currency.), function(x) diff(x) > 0)) didn’t work.
How can I make this work?
