group_by() dplyr verb
Summarising the entire data set isn’t always very useful.
Usually, we want to group by a variable, and then summarise that grouped data.
group_by() function tells the
dplyr verbs to operate on each group one at a time.
group_by() to calculate mean traded volume for each stock
If we group by ticker, then call summarise, then
dplyr will preform the summary calculations separately for each ticker. We will get a row for each ticker.
summarise(meanvolume = mean(volume))
summarise() with multiple
group_by variables, to calculate the mean traded volume for each stock for each year
In this example we:
- calculate a new variable
- group by ticker and year
mutate(year = year(date)) %>%
group_by(ticker, year) %>%
summarise(meanvolume = mean(volume),
obscount = n())
mutate() to do grouped row-level transformations
We can also use
mutate() to calculate new variables which are calculated separately for a given variable (or set of variables)
You’ll use this nearly every time you do any quant analysis to calculate periodic returns.
lag() to calculate daily close-to-close returns
mutate(c2creturns = close / lag(close) – 1)
Arrange your data so:
- Every column is variable
- Every row is an observation
You can then easily use
dplyr to manipulate that data very efficiently.
There are 6 main functions to master in
filter()picks outs observations (rows) by some filter criteria
arrange()reorders the observations (rows)
select()picks out the variables (columns)
mutate()creates new variables (columns) by applying transformations to existing variables
summarise()allows you to group and summarise data – reducing the data into a grouped summary with fewer rows.
group_by() causes the verbs above to act on a group at a time, rather than the whole dataset.
Want the Code?
Visit Robot Wealth website for additional insight: https://robotwealth.com/financial-data-manipulation-in-dplyr-for-quant-traders/
Past performance is not indicative of future results.
Any stock, options or futures symbols displayed are for illustrative purposes only and are not intended to portray recommendations.
Disclosure: Interactive Brokers
Information posted on IBKR Traders’ Insight that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Traders’ Insight are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.
This material is from Robot Wealth and is being posted with permission from Robot Wealth. The views expressed in this material are solely those of the author and/or Robot Wealth and IBKR is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.
In accordance with EU regulation: The statements in this document shall not be considered as an objective or independent explanation of the matters. Please note that this document (a) has not been prepared in accordance with legal requirements designed to promote the independence of investment research, and (b) is not subject to any prohibition on dealing ahead of the dissemination or publication of investment research.