R: Automatic frequency and trend calculation from a time series...

tk_get_frequency {timetk} | R Documentation

## Automatic frequency and trend calculation from a time series index

### Description

Automatic frequency and trend calculation from a time series index

### Usage

    tk_get_frequency(idx, period = "auto", message = TRUE)

    tk_get_trend(idx, period = "auto", message = TRUE)

### Arguments

`idx` | A date or datetime index.
`period` | Either "auto", a time-based definition (e.g. "2 weeks"), or a numeric number of observations per frequency (e.g. 10).
`message` | A boolean. If `message = TRUE`, the frequency or trend is output as a message along with the units in the scale of the data.

### Details

A frequency is loosely defined as the number of observations that comprise a cycle in a data set. The trend is loosely defined as time span that can be aggregated across to visualize the central tendency of the data. It's often easiest to think of frequency and trend in terms of the time-based units that the data is already in. This is what `tk_get_frequency()` and `time_trend()` enable: using time-based periods to define the frequency or trend.

Frequency:

As an example, a weekly cycle is often 5-days (for working days) or 7-days (for calendar days). Rather than specify a frequency of 5 or 7, the user can specify `period = "1 week"`, and `tk_get_frequency()` will detect the scale of the time series and return 5 or 7 based on the actual data.

The `period` argument has three basic options for returning a frequency. Options include:

- `"auto"`: A target frequency is determined using a pre-defined template (see `template` below).

- `time-based duration`: (e.g. "1 week" or "2 quarters" per cycle)

- `numeric number of observations`: (e.g. 5 for 5 observations per cycle)

When `period = "auto"`, the `tk_time_scale_template()` is used to calculate the frequency.

Trend:

As an example, the trend of daily data is often best aggregated by evaluating the moving average over a quarter or a month span. Rather than specify the number of days in a quarter or month, the user can specify "1 quarter" or "1 month", and the `time_trend()` function will return the correct number of observations per trend cycle. In addition, there is an option, `period = "auto"`, to auto-detect an appropriate trend span depending on the data. The `template` is used to define the appropriate trend span.

Time Scale Template

The `tk_time_scale_template()` is a Look-Up Table used by the trend and period to find the appropriate time scale. It contains three features: `time_scale`, `frequency`, and `trend`.

The algorithm will inspect the scale of the time series and select the best frequency or trend that matches the scale and number of observations per target frequency. A frequency is then chosen on be the best match.

The predefined template is stored in a function `tk_time_scale_template()`. You can modify the template with `set_tk_time_scale_template()`.

### Value

Returns a scalar numeric value indicating the number of observations in the frequency or trend span.

### See Also

- Time Scale Template Modifiers: `get_tk_time_scale_template()`, `set_tk_time_scale_template()`

### Examples

    library(tidyverse)
    library(tidyquant)
    library(timetk)

    idx_FB <- FANG %>%
        filter(symbol == "FB") %>%
        pull(date)

    # Automated Frequency Calculation
    tk_get_frequency(idx_FB, period = "auto")

    # Automated Trend Calculation
    tk_get_trend(idx_FB, period = "auto")

    # Manually Override Trend
    tk_get_trend(idx_FB, period = "1 year")

[Package timetk version 2.5.0 Index]