04-27-2016 10:15 PM
Hi Friends, Good day!!!
I need to create a new variable called Signal and populate either '+' or '-' or '0'. The condition is, if ROC>HH then '+' and no prior '-' signals for past 50 days. Likewise, if ROC<LL then '-' and no prior '+' signal for past 50 days. ROC, HH and LL are separate variables and have numeric values.
My query is, signal is the variable we are populating, how can we check whether there is prior + or - signs. How should I understand this logic and start coding?
Is it ok to populate + and - using the 1st condition, ROC>HH or ROC<LL and then consider the second condition for every observation?
in brief, we have multiple stocks and each stock has historical dates to current date. for every observation, we have ROC from 22nd observation since it is ROC for N=22 periods, HH AND LL populated from 72nd observation as they are N=50 for ROC(22).
kindly guide to populate signals.
I have also attached 1 stock information from our dataset for clear understanding.
04-27-2016 11:21 PM
I tried to translate your requirement into a data step:
data want; retain lastH lastL; set HL; by symbol; if first.symbol then do; lastH = '01JAN1900'd; lastL = '01JAN1900'd; end; if missing(ROC) then signal = " "; else if ROC > HH and intck("DAY", lastL, date) > 50 then do; signal = "+"; lastH = date; end; else if ROC < LL and intck("DAY", lastH, date) > 50 then do; signal = "-"; lastL = date; end; else signal = "0"; run;
04-28-2016 12:13 AM
05-03-2016 05:29 AM