Tidyquant

Package ‘tidyquant’
May 20, 2022

Type Package
Title Tidy Quantitative Financial Analysis
Version 1.0.4
Maintainer Matt Dancho <[email protected]>
Description Bringing business and financial analysis to the 'tidyverse'. The 'tidyquant'
package provides a convenient wrapper to various 'xts', 'zoo', 'quantmod', 'TTR'
and 'PerformanceAnalytics' package
functions and returns the objects in the tidy 'tibble' format. The main
advantage is being able to use quantitative functions with the 'tidyverse'
functions including 'purrr', 'dplyr', 'tidyr', 'ggplot2', 'lubridate', etc. See
the 'tidyquant' website for more information, documentation and examples.
URL https://github.com/business-science/tidyquant
BugReports https://github.com/business-science/tidyquant/issues
License MIT + file LICENSE
Encoding UTF-8
LazyData true
Depends R (>= 3.5.0), lubridate, PerformanceAnalytics, quantmod (>=
0.4-13)
Imports dplyr (>= 1.0.0), ggplot2, jsonlite, httr, curl, lazyeval,
magrittr, purrr, Quandl, riingo, readr, alphavantager (>=
0.1.2), stringr, tibble, tidyr (>= 1.0.0), timetk (>= 2.4.0),
timeDate, TTR, xts, rlang, tidyselect
Suggests tidyverse, tibbletime, forcats, broom, knitr, rmarkdown,
testthat (>= 2.1.0), scales, Rblpapi, readxl, covr, janitor
RoxygenNote 7.1.2
VignetteBuilder knitr
NeedsCompilation no
Author Matt Dancho [aut, cre],
Davis Vaughan [aut]
Repository CRAN
Date/Publication 2022-05-20 12:50:04 UTC
1
2 av_api_key
R topics documented:
av_api_key . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
coord_x_date . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
deprecated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
excel_date_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
excel_financial_math_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
excel_if_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
excel_pivot_table . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
excel_ref_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
excel_stat_mutation_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
excel_stat_summary_functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
FANG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
geom_bbands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
geom_chart . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
geom_ma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
palette_tq . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
quandl_api_key . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
quandl_search . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
scale_manual . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
theme_tq . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
tidyquant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
tiingo_api_key . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
tq_get . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
tq_index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
tq_mutate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
tq_performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
tq_portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
Index 53
av_api_key Set Alpha Vantage API Key
Description
Set Alpha Vantage API Key
Usage
av_api_key(api_key)
Arguments
api_key Optionally passed parameter to set Alpha Vantage api_key.
Details
A wrapper for alphavantager::av_api_key()
coord_x_date 3
Value
Returns invisibly the currently set api_key
See Also
tq_get() get = "alphavantager"
Examples
## Not run:
av_api_key(api_key = "foobar")
## End(Not run)
coord_x_date Zoom in on plot regions using date ranges or date-time ranges
Description
Zoom in on plot regions using date ranges or date-time ranges
Usage
coord_x_date(xlim = NULL, ylim = NULL, expand = TRUE)
coord_x_datetime(xlim = NULL, ylim = NULL, expand = TRUE)
Arguments
xlim Limits for the x axis, entered as character dates in "YYYY-MM-DD" format for
date or "YYYY-MM-DD HH:MM:SS" for date-time.
ylim Limits for the y axis, entered as values
expand If TRUE, the default, adds a small expansion factor to the limits to ensure that
data and axes don’t overlap. If FALSE, limits are taken exactly from the data or
xlim/ylim.
Details
The coord_ functions prevent loss of data during zooming, which is necessary when zooming in
on plots that calculate stats using data outside of the zoom range (e.g. when plotting moving
averages with geom_ma()). Setting limits using scale_x_date changes the underlying data which
causes moving averages to fail.
coord_x_date is a wrapper for coord_cartesian that enables quickly zooming in on plot regions
using a date range.
coord_x_datetime is a wrapper for coord_cartesian that enables quickly zooming in on plot
regions using a date-time range.
4 deprecated
See Also
ggplot2::coord_cartesian()
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# coord_x_date
AAPL <- tq_get("AAPL", from = "2013-01-01", to = "2016-12-31")
AAPL %>%
ggplot(aes(x = date, y = adjusted)) +
geom_line() + # Plot stock price
geom_ma(n = 50) + # Plot 50-day Moving Average
geom_ma(n = 200, color = "red") + # Plot 200-day Moving Average
# Zoom in
coord_x_date(xlim = c("2016-01-01", "2016-12-31"),
ylim = c(75, 125))
# coord_x_datetime
time_index <- seq(from = as.POSIXct("2012-05-15 07:00"),
to = as.POSIXct("2012-05-17 18:00"),
by = "hour")
set.seed(1)
value <- rnorm(n = length(time_index))
hourly_data <- tibble(time.index = time_index,
value = value)
hourly_data %>%
ggplot(aes(x = time.index, y = value)) +
geom_point() +
coord_x_datetime(xlim = c("2012-05-15 07:00:00", "2012-05-15 16:00:00"))
deprecated Deprecated functions
Description
A record of functions that have been deprecated.
Usage
tq_transform(data, ohlc_fun = OHLCV, mutate_fun, col_rename = NULL, ...)
tq_transform_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)

excel_date_functions 5
Arguments
data A tibble (tidy data frame) of data typically from tq_get().
ohlc_fun Deprecated. Use select.
mutate_fun The mutation function from either the xts, quantmod, or TTR package. Execute
tq_mutate_fun_options() to see the full list of options by package.
col_rename A string or character vector containing names that can be used to quickly rename
columns.
... Additional parameters passed to the appropriate mutatation function.
x Parameters used with _xy that consist of column names of variables to be passed
to the mutatation function (instead of OHLC functions).
y Parameters used with _xy that consist of column names of variables to be passed
Details
• tq_transform() - use tq_transmute()
• tq_transform_xy() - use tq_transmute_xy()
• as_xts() - use timetk::tk_xts()
• as_tibble() - use timetk::tk_tbl()
• summarise_by_time() - Moved to timetk package. Use timetk::summarise_by_time()
excel_date_functions Excel Date and Time Functions
Description
50+ date and time functions familiar to users coming from an Excel Background. The main benefits
are:
1. Integration of the amazing lubridate package for handling dates and times
2. Integration of Holidays from timeDate and Business Calendars
3. New Date Math and Date Sequence Functions that factor in Business Calendars (e.g. EOMONTH(),
NET_WORKDAYS())
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)
6 excel_date_functions
Usage
AS_DATE(x, ...)
AS_DATETIME(x, ...)
DATE(year, month, day)
DATEVALUE(x, ...)
YMD(x, ...)
MDY(x, ...)
DMY(x, ...)
YMD_HMS(x, ...)
MDY_HMS(x, ...)
DMY_HMS(x, ...)
YMD_HM(x, ...)
MDY_HM(x, ...)
DMY_HM(x, ...)
YMD_H(x, ...)
MDY_H(x, ...)
DMY_H(x, ...)
WEEKDAY(x, ..., label = FALSE, abbr = TRUE)
WDAY(x, ..., label = FALSE, abbr = TRUE)
DOW(x, ..., label = FALSE, abbr = TRUE)
MONTHDAY(x, ...)
MDAY(x, ...)
DOM(x, ...)
QUARTERDAY(x, ...)
QDAY(x, ...)
DAY(x, ...)
WEEKNUM(x, ...)
WEEK(x, ...)
WEEKNUM_ISO(x, ...)
MONTH(x, ..., label = FALSE, abbr = TRUE)
QUARTER(x, ..., include_year = FALSE, fiscal_start = 1)
YEAR(x, ...)
YEAR_ISO(x, ...)
DATE_TO_NUMERIC(x, ...)
DATE_TO_DECIMAL(x, ...)
SECOND(x, ...)
MINUTE(x, ...)
HOUR(x, ...)
NOW(...)
TODAY(...)
EOMONTH(start_date, months = 0)
EDATE(start_date, months = 0)
NET_WORKDAYS(start_date, end_date, remove_weekends = TRUE, holidays = NULL)
COUNT_DAYS(start_date, end_date)
YEARFRAC(start_date, end_date)
DATE_SEQUENCE(start_date, end_date, by = "day")
WORKDAY_SEQUENCE(start_date, end_date, remove_weekends = TRUE, holidays = NULL)
HOLIDAY_SEQUENCE(
start_date,
end_date,
calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH")

)
HOLIDAY_TABLE(years, pattern = ".")
FLOOR_DATE(x, ..., by = "day")
FLOOR_DAY(x, ...)
FLOOR_WEEK(x, ...)
FLOOR_MONTH(x, ...)
FLOOR_QUARTER(x, ...)
FLOOR_YEAR(x, ...)
CEILING_DATE(x, ..., by = "day")
CEILING_DAY(x, ...)
CEILING_WEEK(x, ...)
CEILING_MONTH(x, ...)
CEILING_QUARTER(x, ...)
CEILING_YEAR(x, ...)
ROUND_DATE(x, ..., by = "day")
ROUND_DAY(x, ...)
ROUND_WEEK(x, ...)
ROUND_MONTH(x, ...)
ROUND_QUARTER(x, ...)
ROUND_YEAR(x, ...)
Arguments
x A vector of date or date-time objects
... Parameters passed to underlying lubridate functions.
year Used in DATE()
month Used in DATE()
day Used in DATE()
label A logical used for MONTH() and WEEKDAY() Date Extractors to decide whether
or not to return names (as ordered factors) or numeric values.
abbr A logical used for MONTH() and WEEKDAY(). If label = TRUE, used to determine
if full names (e.g. Wednesday) or abbreviated names (e.g. Wed) should be
returned.
include_year A logicial value used in QUARTER(). Determines whether or not to return 2020
Q3 as 3 or 2020.3.
fiscal_start A numeric value used in QUARTER(). Determines the fiscal-year starting quarter.
start_date Used in Date Math and Date Sequence operations. The starting date in the
calculation.
months Used to offset months in EOMONTH() AND EDATE() Date Math calculations
end_date Used in Date Math and Date Sequence operations. The ending date in the cal-
culation.
remove_weekends
A logical value used in Date Sequence and Date Math calculations. Indicates
whether or not weekends should be removed from the calculation.
holidays A vector of dates corresponding to holidays that should be removed from the
calculation.
by Used to determine the gap in Date Sequence calculations and value to round
to in Date Collapsing operations. Acceptable values are: A character string,
containing one of "day", "week", "month", "quarter" or "year".
calendar The calendar to be used in Date Sequence calculations for Holidays from the
timeDate package. Acceptable values are: "NYSE", "LONDON", "NERC", "TSX",
"ZURICH"
years A numeric vector of years to return Holidays for in HOLIDAY_TABLE()
pattern Used to filter Holidays (e.g. pattern = "Easter"). A "regular expression" fil-
tering pattern.
Details
Converters - Make date and date-time from text (character data)
• General String-to-Date Conversion: AS_DATE(), AS_DATETIME()

• Format-Specific String-to-Date Conversion: YMD() (YYYY-MM-DD), MDY() (MM-DD-YYYY),
DMY() (DD-MM-YYYY)
• Hour-Minute-Second Conversion: YMD_HMS(), YMD_HM(), and friends.
Extractors - Returns information from a time-stamp.
• Extractors: SECOND(), MINUTE(), HOUR(), DAY(), WEEK(), MONTH(), QUARTER(), YEAR()
Current Time - Returns the current date/date-time based on your locale.
• NOW(), TODAY()
Date Math - Perform popular Excel date calculations

• EOMONTH() - End of Month

• NET_WORKDAYS(), COUNT_DAYS() - Return number of days between 2 dates factoring in work-
ing days and holidays
• YEARFRAC() - Return the fractional period of the year that has been completed between 2
dates.
Date Sequences - Return a vector of dates or a Holiday Table (tibble).
• DATE_SEQUENCE(), WORKDAY_SEQUENCE(), HOLIDAY_SEQUENCE - Return a sequence of
dates between 2 dates that factor in workdays and timeDate holiday calendars for popular
business calendars including NYSE and London stock exchange.
Date Collapsers - Collapse a date sequence (useful in dplyr::group_by() and pivot_table())
• FLOOR_DATE(), FLOOR_DAY(), FLOOR_WEEK(), FLOOR_MONTH(), FLOOR_QUARTER(), FLOOR_YEAR()
• Similar functions exist for CEILING and ROUND. These are wrappers for lubridate func-
tions.
Value
• Converters - Date or date-time object the length of x
• Extractors - Returns information from a time-stamp.
• Current Time - Returns the current date/date-time based on your locale.
• Date Math - Numeric values or Date Values depending on the calculation.
• Date Sequences - Return a vector of dates or a Holiday Table (tibble).
• Date Collapsers - Date or date-time object the length of x
Examples
# Libraries
library(tidyquant)
library(tidyverse)
library(lubridate)
# --- Basic Usage ----
# Converters ---
AS_DATE("2011 Jan-01") # General
YMD("2011 Jan-01") # Year, Month-Day Format
MDY("01-02-20") # Month-Day, Year Format (January 2nd, 2020)
DMY("01-02-20") # Day-Month, Year Format (February 1st, 2020)
# Extractors ---
WEEKDAY("2020-01-01") # Labelled Day
WEEKDAY("2020-01-01", label = FALSE) # Numeric Day
WEEKDAY("2020-01-01", label = FALSE, week_start = 1) # Start at 1 (Monday) vs 7 (Sunday)
MONTH("2020-01-01")
QUARTER("2020-01-01")
YEAR("2020-01-01")
excel_financial_math_functions 11
# Current Date-Time ---

NOW()
TODAY()
# Date Math ---

EOMONTH("2020-01-01")
EOMONTH("2020-01-01", months = 1)
NET_WORKDAYS("2020-01-01", "2020-07-01") # 131 Skipping Weekends
NET_WORKDAYS("2020-01-01", "2020-07-01",
holidays = HOLIDAY_SEQUENCE("2020-01-01", "2020-07-01",
calendar = "NYSE")) # 126 Skipping 5 NYSE Holidays
# Date Sequences ---

DATE_SEQUENCE("2020-01-01", "2020-07-01")
WORKDAY_SEQUENCE("2020-01-01", "2020-07-01")
HOLIDAY_SEQUENCE("2020-01-01", "2020-07-01", calendar = "NYSE")
WORKDAY_SEQUENCE("2020-01-01", "2020-07-01",
holidays = HOLIDAY_SEQUENCE("2020-01-01", "2020-07-01",
calendar = "NYSE"))
# Date Collapsers ---

FLOOR_DATE(AS_DATE("2020-01-15"), by = "month")
CEILING_DATE(AS_DATE("2020-01-15"), by = "month")
CEILING_DATE(AS_DATE("2020-01-15"), by = "month") - ddays(1) # EOMONTH using lubridate
# --- Usage with tidyverse ---
# Calculate returns by symbol/year/quarter

FANG %>%
pivot_table(
.rows = c(symbol, ~ QUARTER(date)),
.columns = ~ YEAR(date),
.values = ~ PCT_CHANGE_FIRSTLAST(adjusted)
)
excel_financial_math_functions
Excel Financial Math Functions
Description
Excel financial math functions are designed to easily calculate Net Present Value (NPV()), Future
Value of cashflow (FV()), Present Value of future cashflow (PV()), and more.
• Names are similar to Excel function names

12 excel_financial_math_functions
Usage
NPV(cashflow, rate, nper = NULL)
IRR(cashflow)
FV(rate, nper, pv = 0, pmt = 0, type = 0)
PV(rate, nper, fv = 0, pmt = 0, type = 0)
PMT(rate, nper, pv, fv = 0, type = 0)
RATE(nper, pmt, pv, fv = 0, type = 0)
Arguments
cashflow Cash flow values. When one value is provided, it’s assumed constant cash flow.
rate One or more rate. When one rate is provided it’s assumed constant rate.
nper Number of periods. When ‘nper“ is provided, the cashflow values and rate are
assumed constant.
pv Present value. Initial investments (cash inflows) are typcially a negative value.
pmt Number of payments per period.
type Should payments (pmt) occur at the beginning (type = 0) or the end (type = 1)
of each period.
fv Future value. Cash outflows are typically a positive value.
Details
Net Present Value (NPV) Net present value (NPV) is the difference between the present value of
cash inflows and the present value of cash outflows over a period of time. NPV is used in capital
budgeting and investment planning to analyze the profitability of a projected investment or project.
For more information, see Investopedia NPV.
Internal Rate of Return (IRR) The internal rate of return (IRR) is a metric used in capital bud-
geting to estimate the profitability of potential investments. The internal rate of return is a discount
rate that makes the net present value (NPV) of all cash flows from a particular project equal to zero.
IRR calculations rely on the same formula as NPV does. For more information, see Investopedia
IRR.
Future Value (FV) Future value (FV) is the value of a current asset at a future date based on an
assumed rate of growth. The future value (FV) is important to investors and financial planners as
they use it to estimate how much an investment made today will be worth in the future. Knowing
the future value enables investors to make sound investment decisions based on their anticipated
needs. However, external economic factors, such as inflation, can adversely affect the future value
of the asset by eroding its value. For more information, see Investopedia FV.
Present Value (PV) Present value (PV) is the current value of a future sum of money or stream of
cash flows given a specified rate of return. Future cash flows are discounted at the discount rate, and
the higher the discount rate, the lower the present value of the future cash flows. Determining the
excel_if_functions 13
appropriate discount rate is the key to properly valuing future cash flows, whether they be earnings
or obligations. For more information, see Investopedia PV.
Payment (PMT) The Payment PMT() function calculates the payment for a loan based on constant
payments and a constant interest rate.
Rate (RATE) Returns the interest rate per period of a loan or an investment. For example, use 6%/4
for quarterly payments at 6% APR.
Value
• Summary functions return a single value
Examples
NPV(c(-1000, 250, 350, 450, 450), rate = 0.05)
IRR(c(-1000, 250, 350, 450, 450))
FV(rate = 0.05, nper = 5, pv = -100, pmt = 0, type = 0)
PV(rate = 0.05, nper = 5, fv = -100, pmt = 0, type = 0)
PMT(nper = 20, rate = 0.05, pv = -100, fv = 0, type = 0)
RATE(nper = 20, pmt = 8, pv = -100, fv = 0, type = 0)
excel_if_functions Excel Summarising "If" Functions
Description
"IFS" functions are filtering versions of their summarization counterparts. Simply add "cases" that
filter if a condition is true. Multiple cases are evaluated as "AND" filtering operations. A single
case with | ("OR") bars can be created to accomplish an "OR". See details below.

Usage
SUM_IFS(x, ...)
COUNT_IFS(x, ...)
14 excel_if_functions
AVERAGE_IFS(x, ...)
MEDIAN_IFS(x, ...)
MIN_IFS(x, ...)
MAX_IFS(x, ...)
CREATE_IFS(.f, ...)
Arguments
x A vector. Most functions are designed for numeric data. Some functions like
COUNT_IFS() handle multiple data types.
... Add cases to evaluate. See Details.
.f A function to convert to an "IFS" function. Use ... in this case to provide
parameters to the .f like na.rm = TRUE.
Details
"AND" Filtering: Multiple cases are evaluated as "AND" filtering operations.

"OR" Filtering: Compound single cases with | ("OR") bars can be created to accomplish an "OR".
Simply use a statement like x > 10 | x < -10 to perform an "OR" if-statement.
Creating New "Summarizing IFS" Functions: Users can create new "IFS" functions using the
CREATE_IFS() function factory. The only requirement is that the output of your function (.f) must
be a single value (scalar). See examples below.
Value
Useful functions
Summary Functions - Return a single value from a vector
• Sum: SUM_IFS()
• Center: AVERAGE_IFS(), MEDIAN_IFS()
• Count: COUNT_IFS()
• Range: MIN_IFS(), MAX_IFS()
_Create your own summary "IF" function This is a function factory that generates summary "_IFS"
functions.
excel_if_functions 15
Examples
library(tidyverse)
library(tidyquant)
library(timetk)
library(stringr)
library(lubridate)
# --- Basic Usage ---
SUM_IFS(x = 1:10, x > 5)
COUNT_IFS(x = letters, str_detect(x, "a|b|c"))
SUM_IFS(-10:10, x > 8 | x < -5)
# Create your own IFS function (Mind blowingly simple)!

Q75_IFS <- CREATE_IFS(.f = quantile, probs = 0.75, na.rm = TRUE)
Q75_IFS(1:10, x > 5)
# Using multiple cases IFS cases to count the frequency of days with
# high trade volume in a given year
FANG %>%
group_by(symbol) %>%
summarise(
high_volume_in_2015 = COUNT_IFS(volume,
year(date) == 2015,
volume > quantile(volume, 0.75))
)
# Count negative returns by month

FANG %>%
mutate(symbol = as_factor(symbol)) %>%
# Collapse from daily to FIRST value by month

summarise_by_time(
.date_var = date,
.by = "month",
adjusted = FIRST(adjusted)
) %>%
# Calculate monthly returns

mutate(
returns = PCT_CHANGE(adjusted, fill_na = 0)
) %>%
# Find returns less than zero and count the frequency

summarise(
negative_monthly_returns = COUNT_IFS(returns, returns < 0)
16 excel_pivot_table
excel_pivot_table Excel Pivot Table
Description
The Pivot Table is one of Excel’s most powerful features, and now it’s available in R! A pivot table
is a table of statistics that summarizes the data of a more extensive table (such as from a database,
spreadsheet, or business intelligence program).

Usage
pivot_table(
.data,
.rows,
.columns,
.values,
.filters = NULL,
.sort = NULL,
fill_na = NA
)
Arguments
.data A data.frame or tibble that contains data to summarize with a pivot table
.rows Enter one or more groups to assess as expressions (e.g. ~ MONTH(date_column))
.columns Enter one or more groups to assess expressions (e.g. ~ YEAR(date_column))
.values Numeric only. Enter one or more summarization expression(s) (e.g. ~ SUM(value_column))
.filters This argument is not yet in use
.sort This argument is not yet in use
fill_na A value to replace missing values with. Default is NA
Details
This summary might include sums, averages, or other statistics, which the pivot table groups to-
gether in a meaningful way.
The key parameters are:
excel_ref_functions 17
• .rows - These are groups that will appear as row-wise headings for the summarization, You
can modify these groups by applying collapsing functions (e.g. (YEAR()).
• .columns - These are groups that will appear as column headings for the summarization. You
can modify these groups by applying collapsing functions (e.g. (YEAR()).
• .values - These are numeric data that are summarized using a summary function (e.g. SUM(),
AVERAGE(), COUNT(), FIRST(), LAST(), SUM_IFS(), AVERAGE_IFS(), COUNT_IFS())
R implementation details.
• The pivot_table() function is powered by the tidyverse, an ecosystem of packages de-

signed to manipulate data.
• All of the key parameters can be expressed using a functional form:
– Rows and Column Groupings can be collapsed. Example: .columns = ~ YEAR(order_date)
– Values can be summarized provided a single value is returned. Example: .values = ~
SUM_IFS(order_volume >= quantile(order_volume, probs = 0.75))
– Summarizations and Row/Column Groupings can be stacked (combined) with c(). Ex-
ample: .rows = c(~ YEAR(order_date), company)
– Bare columns (e.g. company) don not need to be prefixed with the ~.
– All grouping and summarizing functions MUST BE prefixed with ~. Example: .rows
= ~ YEAR(order_date)
Value
Returns a tibble that has been pivoted to summarize information by column and row groupings
Examples
library(tidyquant)
library(tidyverse)
# PIVOT TABLE ----

# Calculate returns by year/quarter
FANG %>%
pivot_table(
.rows = c(symbol, ~ QUARTER(date)),
.columns = ~ YEAR(date),
.values = ~ PCT_CHANGE_FIRSTLAST(adjusted)
)
excel_ref_functions Excel Reference Functions

18 excel_ref_functions
Description
Excel reference functions are used to efficiently lookup values from a data source. The most popular
lookup function is "VLOOKUP", which has been implemented in R.

Usage
VLOOKUP(.lookup_values, .data, .lookup_column, .return_column)
Arguments
.lookup_values One or more lookup values.
.data A data.frame or tibble that contains values to evaluate and return
.lookup_column The column in .data containing exact matching values of the .lookup_values
.return_column The column in .data containing the values to return if a match is found
Details
VLOOKUP() Details
• Performs exact matching only. Fuzzy matching is not implemented.

• Can only return values from one column only. Use dplyr::left_join() to perform table
joining.
Value
Returns a vector the length of the input lookup values
Examples
library(tidyquant)
library(tidyverse)
lookup_table <- tibble(

stock = c("FB", "AMZN", "NFLX", "GOOG"),
company = c("Facebook", "Amazon", "Netflix", "Google")
)
# --- Basic Usage ---
VLOOKUP("NFLX",
.data = lookup_table,
.lookup_column = stock,
.return_column = company)
excel_stat_mutation_functions 19
# Add company names to the stock data

FANG %>%
mutate(company = VLOOKUP(symbol, lookup_table, stock, company))
excel_stat_mutation_functions
Excel Statistical Mutation Functions
Description
15+ common statistical functions familiar to users of Excel (e.g. ABS(), SQRT()) that modify /
transform a series of values (i.e. a vector of the same length of the input is returned).
Usage
ABS(x)
SQRT(x)
LOG(x)
EXP(x)
RETURN(x, n = 1, fill_na = NA)
PCT_CHANGE(x, n = 1, fill_na = NA)
CHANGE(x, n = 1, fill_na = NA)
LAG(x, n = 1, fill_na = NA)
LEAD(x, n = 1, fill_na = NA)
CUMULATIVE_SUM(x)
CUMULATIVE_PRODUCT(x)
CUMULATIVE_MAX(x)
20 excel_stat_mutation_functions
CUMULATIVE_MIN(x)
CUMULATIVE_MEAN(x)
CUMULATIVE_MEDIAN(x)
Arguments
x A vector. Most functions are designed for numeric data.
n Values to offset. Used in functions like LAG(), LEAD(), and PCT_CHANGE()
fill_na Fill missing (NA) values with a different value. Used in offsetting functions.
Value
• Mutation functions return a mutated / transformed version of the vector
Useful functions
Mutation Functions - Transforms a vector
• Transformation: ABS(), SQRT(), LOG(), EXP()
• Lags & Change (Offsetting Functions): CHANGE(), PCT_CHANGE(), LAG(), LEAD()
• Cumulative Totals: CUMULATIVE_SUM(), CUMULATIVE_PRODUCT()
Examples
# Libraries
library(tidyquant)
library(timetk)
library(tidyverse)
library(forcats)
CUMULATIVE_SUM(1:10)
PCT_CHANGE(c(21, 24, 22, 25), fill_na = 0)
# Go from daily to monthly periodicity,

# then calculate returns and growth of $1 USD
FANG %>%
# Summarization - Collapse from daily to FIRST value by month

summarise_by_time(
.date_var = date,
.by = "month",
excel_stat_summary_functions 21
) %>%
# Mutation - Calculate monthly returns and cumulative growth of $1 USD

mutate(
returns = PCT_CHANGE(adjusted, fill_na = 0),
growth = CUMULATIVE_SUM(returns) + 1
)
excel_stat_summary_functions
Excel Statistical Summary Functions
Description
15+ common statistical functions familiar to users of Excel (e.g. SUM(), AVERAGE()). These func-
tions return a single value (i.e. a vector of length 1).

Usage
SUM(x)
AVERAGE(x)
MEDIAN(x)
MIN(x)
MAX(x)
COUNT(x)
COUNT_UNIQUE(x)
STDEV(x)
VAR(x)
COR(x, y)
22 excel_stat_summary_functions
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
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()
FANG 23
Examples
# Libraries
library(tidyquant)
library(timetk)
library(tidyverse)
library(forcats)
SUM(1:10)
PCT_CHANGE_FIRSTLAST(c(21, 24, 22, 25))
# Go from daily to monthly periodicity,

# then calculate returns and growth of $1 USD
FANG %>%
# Summarization - Collapse from daily to FIRST value by month

summarise_by_time(
.date_var = date,
.by = "month",
)
FANG Stock prices for the "FANG" stocks.
Description
A dataset containing the daily historical stock prices for the "FANG" tech stocks, "FB", "AMZN",
"NFLX", and "GOOG", spanning from the beginning of 2013 through the end of 2016.
Usage
FANG
Format
A "tibble" ("tidy" data frame) with 4,032 rows and 8 variables:
symbol stock ticker symbol

date trade date
open stock price at the open of trading, in USD
24 geom_bbands
high stock price at the highest point during trading, in USD

low stock price at the lowest point during trading, in USD
close stock price at the close of trading, in USD
volume number of shares traded
adjusted stock price at the close of trading adjusted for stock splits, in USD
Source
https://www.investopedia.com/terms/f/fang-stocks-fb-amzn.asp
geom_bbands Plot Bollinger Bands using Moving Averages
Description
Bollinger Bands plot a range around a moving average typically two standard deviations up and
down. The geom_bbands() function enables plotting Bollinger Bands quickly using various mov-
ing average functions. The moving average functions used are specified in TTR::SMA() from the
TTR package. Use coord_x_date() to zoom into specific plot regions. The following moving
averages are available:
• Simple moving averages (SMA): Rolling mean over a period defined by n.

• Exponential moving averages (EMA): Includes exponentially-weighted mean that gives
more weight to recent observations. Uses wilder and ratio args.
• Weighted moving averages (WMA): Uses a set of weights, wts, to weight observations in
the moving average.
• Double exponential moving averages (DEMA): Uses v volume factor, wilder and ratio
args.
• Zero-lag exponential moving averages (ZLEMA): Uses wilder and ratio args.
• Volume-weighted moving averages (VWMA): Requires volume aesthetic.
• Elastic, volume-weighted moving averages (EVWMA): Requires volume aesthetic.
Usage
geom_bbands(
mapping = NULL,
data = NULL,
position = "identity",
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
ma_fun = SMA,
n = 20,
sd = 2,
geom_bbands 25
wilder = FALSE,
ratio = NULL,
v = 1,
wts = 1:n,
color_ma = "darkblue",
color_bands = "red",
alpha = 0.15,
fill = "grey20",
...
)
geom_bbands_(
mapping = NULL,
data = NULL,
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
ma_fun = "SMA",
n = 10,
sd = 2,
wilder = FALSE,
ratio = NULL,
v = 1,
wts = 1:n,
color_ma = "darkblue",
color_bands = "red",
alpha = 0.15,
fill = "grey20",
...
)
Arguments
mapping Set of aesthetic mappings created by ggplot2::aes() or ggplot2::aes_(). If
specified and inherit.aes = TRUE (the default), it is combined with the default
mapping at the top level of the plot. You must supply mapping if there is no plot
mapping.
data The data to be displayed in this layer. There are three options:
If NULL, the default, the data is inherited from the plot data as specified in the
call to ggplot2::ggplot().
A data.frame, or other object, will override the plot data. All objects will be
fortified to produce a data frame. See ggplot2::fortify() for which variables
will be created.
A function will be called with a single argument, the plot data. The return
value must be a data.frame., and will be used as the layer data.
position Position adjustment, either as a string, or the result of a call to a position adjust-
ment function.
26 geom_bbands
na.rm If TRUE, silently removes NA values, which typically desired for moving aver-
ages.
show.legend logical. Should this layer be included in the legends? NA, the default, includes if
any aesthetics are mapped. FALSE never includes, and TRUE always includes. It
can also be a named logical vector to finely select the aesthetics to display.
inherit.aes If FALSE, overrides the default aesthetics, rather than combining with them.
This is most useful for helper functions that define both data and aesthetics and
shouldn’t inherit behaviour from the default plot specification, e.g. ggplot2::borders().
ma_fun The function used to calculate the moving average. Seven options are available
including: SMA, EMA, WMA, DEMA, ZLEMA, VWMA, and EVWMA. The
default is SMA. See TTR::SMA() for underlying functions.
n Number of periods to average over. Must be between 1 and nrow(x), inclusive.
sd The number of standard deviations to use.
wilder logical; if TRUE, a Welles Wilder type EMA will be calculated; see notes.
ratio A smoothing/decay ratio. ratio overrides wilder in EMA, and provides addi-
tional smoothing in VMA.
v The ’volume factor’ (a number in [0,1]). See Notes.
wts Vector of weights. Length of wts vector must equal the length of x, or n (the
default).
color_ma, color_bands
Select the line color to be applied for the moving average line and the Bollinger
band line.
alpha Used to adjust the alpha transparency for the BBand ribbon.
fill Used to adjust the fill color for the BBand ribbon.
... Other arguments passed on to ggplot2::layer(). These are often aesthetics,
used to set an aesthetic to a fixed value, like color = "red" or size = 3. They
may also be parameters to the paired geom/stat.
Aesthetics
The following aesthetics are understood (required are in bold):
• x, Typically a date
• high, Required to be the high price
• low, Required to be the low price
• close, Required to be the close price
• volume, Required for VWMA and EVWMA
• colour, Affects line colors
• fill, Affects ribbon fill color
• alpha, Affects ribbon alpha value
• group
• linetype
• size
geom_bbands 27
See Also
See individual modeling functions for underlying parameters:
• TTR::SMA() for simple moving averages
• TTR::EMA() for exponential moving averages
• TTR::WMA() for weighted moving averages
• TTR::DEMA() for double exponential moving averages
• TTR::ZLEMA() for zero-lag exponential moving averages
• TTR::VWMA() for volume-weighted moving averages
• TTR::EVWMA() for elastic, volume-weighted moving averages
• coord_x_date() for zooming into specific regions of a plot
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# SMA
AAPL %>%
ggplot(aes(x = date, y = close)) +
geom_bbands(aes(high = high, low = low, close = close), ma_fun = SMA, n = 50) +
coord_x_date(xlim = c(as_date("2016-12-31") - dyears(1), as_date("2016-12-31")),
ylim = c(75, 125))
# EMA
AAPL %>%
geom_bbands(aes(high = high, low = low, close = close),
ma_fun = EMA, wilder = TRUE, ratio = NULL, n = 50) +
ylim = c(75, 125))
# VWMA
AAPL %>%
geom_bbands(aes(high = high, low = low, close = close, volume = volume),
ma_fun = VWMA, n = 50) +
ylim = c(75, 125))
28 geom_chart
geom_chart Plot Financial Charts in ggplot2
Description
Financial charts provide visual cues to open, high, low, and close prices. Use coord_x_date() to
zoom into specific plot regions. The following financial chart geoms are available:
• Bar Chart
• Candlestick Chart
Usage
geom_barchart(
mapping = NULL,
data = NULL,
stat = "identity",
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
colour_up = "darkblue",
colour_down = "red",
fill_up = "darkblue",
fill_down = "red",
...
)
geom_candlestick(
mapping = NULL,
data = NULL,
stat = "identity",
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
colour_up = "darkblue",
colour_down = "red",
fill_up = "darkblue",
fill_down = "red",
...
)
Arguments
geom_chart 29
mapping.
will be created.
stat The statistical transformation to use on the data for this layer, as a string.
ment function.
ages.
colour_up, colour_down
Select colors to be applied based on price movement from open to close. If close
>= open, colour_up is used. Otherwise, colour_down is used. The default is
"darkblue" and "red", respectively.
fill_up, fill_down
Select fills to be applied based on price movement from open to close. If close
>= open, fill_up is used. Otherwise, fill_down is used. The default is "dark-
blue" and "red", respectively. Only affects geom_candlestick.
Aesthetics
• x, Typically a date
• open, Required to be the open price
• high, Required to be the high price
• low, Required to be the low price
• close, Required to be the close price
• alpha
• group
• linetype
• size
30 geom_ma
See Also
• geom_ma() for adding moving averages to ggplots
• geom_bbands() for adding Bollinger Bands to ggplots
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# Bar Chart
AAPL %>%
geom_barchart(aes(open = open, high = high, low = low, close = close)) +
geom_ma(color = "darkgreen") +
ylim = c(75, 125))
# Candlestick Chart
AAPL %>%
geom_candlestick(aes(open = open, high = high, low = low, close = close)) +
geom_ma(color = "darkgreen") +
ylim = c(75, 125))
geom_ma Plot moving averages
Description
The underlying moving average functions used are specified in TTR::SMA() from the TTR pack-
age. Use coord_x_date() to zoom into specific plot regions. The following moving averages are
available:
• Simple moving averages (SMA): Rolling mean over a period defined by n.
• Exponential moving averages (EMA): Includes exponentially-weighted mean that gives
more weight to recent observations. Uses wilder and ratio args.
• Weighted moving averages (WMA): Uses a set of weights, wts, to weight observations in
the moving average.
• Double exponential moving averages (DEMA): Uses v volume factor, wilder and ratio
args.
geom_ma 31
• Zero-lag exponential moving averages (ZLEMA): Uses wilder and ratio args.
• Volume-weighted moving averages (VWMA): Requires volume aesthetic.
• Elastic, volume-weighted moving averages (EVWMA): Requires volume aesthetic.
Usage
geom_ma(
mapping = NULL,
data = NULL,
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
ma_fun = SMA,
n = 20,
wilder = FALSE,
ratio = NULL,
v = 1,
wts = 1:n,
...
)
geom_ma_(
mapping = NULL,
data = NULL,
na.rm = TRUE,
show.legend = NA,
inherit.aes = TRUE,
ma_fun = "SMA",
n = 20,
wilder = FALSE,
ratio = NULL,
v = 1,
wts = 1:n,
...
)
Arguments
mapping.
32 geom_ma
will be created.
ment function.
ages.
ma_fun The function used to calculate the moving average. Seven options are available
including: SMA, EMA, WMA, DEMA, ZLEMA, VWMA, and EVWMA. The
default is SMA. See TTR::SMA() for underlying functions.
n Number of periods to average over. Must be between 1 and nrow(x), inclusive.
wilder logical; if TRUE, a Welles Wilder type EMA will be calculated; see notes.
ratio A smoothing/decay ratio. ratio overrides wilder in EMA, and provides addi-
tional smoothing in VMA.
v The ’volume factor’ (a number in [0,1]). See Notes.
wts Vector of weights. Length of wts vector must equal the length of x, or n (the
default).
Aesthetics
• x
• y
• volume, Required for VWMA and EVWMA
• alpha
• colour
• group
• linetype
• size
palette_tq 33
See Also
• TTR::SMA() for simple moving averages

• TTR::EMA() for exponential moving averages
• TTR::WMA() for weighted moving averages
• TTR::DEMA() for double exponential moving averages
• TTR::ZLEMA() for zero-lag exponential moving averages
• TTR::VWMA() for volume-weighted moving averages
• TTR::EVWMA() for elastic, volume-weighted moving averages
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# SMA
AAPL %>%
geom_ma(ma_fun = SMA, n = 50) + # Plot 50-day SMA
geom_ma(ma_fun = SMA, n = 200, color = "red") + # Plot 200-day SMA
ylim = c(75, 125)) # Zoom in
# EVWMA
AAPL %>%
geom_ma(aes(volume = volume), ma_fun = EVWMA, n = 50) + # Plot 50-day EVWMA
ylim = c(75, 125)) # Zoom in
palette_tq tidyquant palettes for use with scales
Description
These palettes are mainly called internally by tidyquant scale_*_tq() functions.
34 quandl_api_key
Usage
palette_light()
palette_dark()
palette_green()
Examples
library(scales)
scales::show_col(palette_light())
quandl_api_key Query or set Quandl API Key
Description
Query or set Quandl API Key
Usage
quandl_api_key(api_key)
Arguments
api_key Optionally passed parameter to set Quandl api_key.
Details
A wrapper for Quandl::Quandl.api_key()
Value
See Also
tq_get() get = "quandl"
Examples
## Not run:
quandl_api_key(api_key = "foobar")
## End(Not run)
quandl_search 35
quandl_search Search the Quandl database
Description
Search the Quandl database
Usage
quandl_search(query, silent = FALSE, per_page = 10, ...)
Arguments
query Search terms

silent Prints the results when FALSE.
per_page Number of results returned per page.
... Additional named values that are interpretted as Quandl API parameters.
Details
A wrapper for Quandl::Quandl.search()
Value
Returns a tibble with search results.
See Also
tq_get() get = "quandl"
Examples
## Not run:
quandl_search(query = "oil")
## End(Not run)
36 scale_manual
scale_manual tidyquant colors and fills for ggplot2.
Description
The tidyquant scales add colors that work nicely with theme_tq().
Usage
scale_color_tq(..., theme = "light")
scale_colour_tq(..., theme = "light")
scale_fill_tq(..., theme = "light")
Arguments
... common discrete scale parameters: name, breaks, labels, na.value, limits
and guide. See discrete_scale() for more details
theme one of "light", "dark", or "green". This should match the theme_tq() that is
used with it.
Details
scale_color_tq For use when color is specified as an aes() in a ggplot.
scale_fill_tq For use when fill is specified as an aes() in a ggplot.
See Also
theme_tq()
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# Get stock prices

stocks <- c("AAPL", "FB", "NFLX") %>%
tq_get(from = "2013-01-01",
to = "2017-01-01")
# Plot for stocks

g <- stocks %>%
ggplot(aes(date, adjusted, color = symbol)) +
geom_line() +
labs(title = "Multi stock example",
theme_tq 37
xlab = "Date",
ylab = "Adjusted Close")
# Plot with tidyquant theme and colors

g +
theme_tq() +
scale_color_tq()
theme_tq tidyquant themes for ggplot2.
Description
The theme_tq() function creates a custom theme using tidyquant colors.
Usage
theme_tq(base_size = 11, base_family = "")
theme_tq_dark(base_size = 11, base_family = "")
theme_tq_green(base_size = 11, base_family = "")
Arguments
base_size base font size, given in pts.
base_family base font family
See Also
scale_manual()
Examples
# Load libraries
library(tidyquant)
library(dplyr)
library(ggplot2)
# Get stock prices

# Plot using ggplot with theme_tq

AAPL %>% ggplot(aes(x = date, y = close)) +
geom_line() +
geom_bbands(aes(high = high, low = low, close = close),
ma_fun = EMA,
38 tiingo_api_key
wilder = TRUE,
ratio = NULL,
n = 50) +
ylim = c(75, 125)) +
labs(title = "Apple BBands",
x = "Date",
y = "Price") +
theme_tq()
tidyquant tidyquant: Integrating quantitative financial analysis tools with the

tidyverse
Description
The main advantage of tidyquant is to bridge the gap between the best quantitative resources
for collecting and manipulating quantitative data, xts, quantmod and TTR, and the data modeling
workflow and infrastructure of the tidyverse.
Details
In this package, tidyquant functions and supporting data sets are provided to seamlessly combine
tidy tools with existing quantitative analytics packages. The main advantage is being able to use
tidy functions with purrr for mapping and tidyr for nesting to extend modeling to many stocks. See
the tidyquant website for more information, documentation and examples.
Users will probably be interested in the following:
• Getting Data from the Web: tq_get()

• Manipulating Data: tq_transmute() and tq_mutate()
• Performance Analysis and Portfolio Aggregation: tq_performance() and tq_portfolio()
To learn more about tidyquant, start with the vignettes: browseVignettes(package = "tidyquant")
tiingo_api_key Set Tiingo API Key
Description
Set Tiingo API Key
Usage
tiingo_api_key(api_key)
tq_get 39
Arguments
api_key Optionally passed parameter to set Tiingo api_key.
Details
A wrapper for riingo::ringo_set_token()
Value
See Also
tq_get() get = "tiingo"
Examples
## Not run:
tiingo_api_key(api_key = "foobar")
## End(Not run)
tq_get Get quantitative data in tibble format
Description
Get quantitative data in tibble format
Usage
tq_get(x, get = "stock.prices", complete_cases = TRUE, ...)
tq_get_options()
Arguments
x A single character string, a character vector or tibble representing a single (or
multiple) stock symbol, metal symbol, currency combination, FRED code, etc.
get A character string representing the type of data to get for x. Options include:
• "stock.prices": Get the open, high, low, close, volume and adjusted
stock prices for a stock symbol from Yahoo Finance (https://finance.yahoo.com/).
Wrapper for quantmod::getSymbols().
• "dividends": Get the dividends for a stock symbol from Yahoo Finance
(https://finance.yahoo.com/). Wrapper for quantmod::getDividends().
40 tq_get
• "splits": Get the split ratio for a stock symbol from Yahoo Finance (https://finance.yahoo.com/).
Wrapper for quantmod::getSplits().
• "stock.prices.japan": Get the open, high, low, close, volume and ad-
justed stock prices for a stock symbol from Yahoo Finance Japan (https://finance.yahoo.co.jp/).
Wrapper for quantmod::getSymbols.yahooj().
• "economic.data": Get economic data from FRED. rapper for quantmod::getSymbols.FRED().
• "quandl": Get data sets from Quandl. Wrapper for Quandl::Quandl().
See also quandl_api_key().
• "quandl.datatable": Get data tables from Quandl. Wrapper for Quandl::Quandl.datatable().
See also quandl_api_key().
• "tiingo": Get data sets from Tiingo. Wrapper for riingo::riingo_prices().
See also tiingo_api_key().
• "tiingo.iex": Get data sets from Tiingo. Wrapper for riingo::riingo_iex_prices().
• "tiingo.crypto": Get data sets from Tiingo. Wrapper for riingo::riingo_crypto_prices().
• "alphavantager": Get data sets from Alpha Vantage. Wrapper for alphavantager::av_get().
See also av_api_key().
• "rblpapi": Get data sets from Bloomberg. Wrapper for Rblpapi. See also
Rblpapi::blpConnect() to connect to Bloomberg terminal (required). Use
the argument rblpapi_fun to set the function such as "bdh" (default),
"bds", or "bdp".
complete_cases Removes symbols that return an NA value due to an error with the get call such
as sending an incorrect symbol "XYZ" to get = "stock.prices". This is useful in
scaling so user does not need to add an extra step to remove these rows. TRUE
by default, and a warning message is generated for any rows removed.
... Additional parameters passed to the "wrapped" function. Investigate underlying
functions to see full list of arguments. Common optional parameters include:
• from: Standardized for time series functions in quantmod, quandl, tiingo,
alphavantager packages. A character string representing a start date in
YYYY-MM-DD format.
• to: Standardized for time series functions in quantmod, quandl, tiingo,
alphavantager packages. A character string representing a end date in
YYYY-MM-DD format.
Details
tq_get() is a consolidated function that gets data from various web sources. The function is a
wrapper for several quantmod functions, Quandl functions, and also gets data from websources
unavailable in other packages. The results are always returned as a tibble. The advantages are (1)
only one function is needed for all data sources and (2) the function can be seemlessly used with
the tidyverse: purrr, tidyr, and dplyr verbs.
tq_get_options() returns a list of valid get options you can choose from.
tq_get_stock_index_options() Is deprecated and will be removed in the next version. Please
use tq_index_options() instead.
tq_get 41
Value
Returns data in the form of a tibble object.
See Also
• tq_index() to get a ful list of stocks in an index.
• tq_exchange() to get a ful list of stocks in an exchange.
• quandl_api_key() to set the api key for collecting data via the "quandl" get option.
• tiingo_api_key() to set the api key for collecting data via the "tiingo" get option.
• av_api_key() to set the api key for collecting data via the "alphavantage" get option.
Examples
# Load libraries
library(tidyquant)
library(tidyverse)
# Get the list of `get` options

tq_get_options()
# Get stock prices for a stock from Yahoo

aapl_stock_prices <- tq_get("AAPL")
# Get stock prices for multiple stocks

mult_stocks <- tq_get(c("FB", "AMZN"),
get = "stock.prices",
from = "2016-01-01",
to = "2017-01-01")
## Not run:
# --- Quandl ---
quandl_api_key('<your_api_key>')
# Energy data from EIA

tq_get("EIA/PET_MTTIMUS1_M", get = "quandl", from = "2010-01-01")
# --- Tiingo ---
tiingo_api_key('<your_api_key>')
# Tiingo Prices (Free alternative to Yahoo Finance!)

tq_get(c("AAPL", "GOOG"), get = "tiingo", from = "2010-01-01")
# Sub-daily prices from IEX ----

tq_get(c("AAPL", "GOOG"),
get = "tiingo.iex",
42 tq_index
from = "2020-01-01",
to = "2020-01-15",
resample_frequency = "5min")
# Tiingo Bitcoin Prices ----

tq_get(c("btcusd", "btceur"),
get = "tiingo.crypto",
from = "2020-01-01",
to = "2020-01-15",
resample_frequency = "5min")
# --- Alpha Vantage ---
av_api_key('<your_api_key>')
# Daily Time Series

tq_get("AAPL",
get = "alphavantager",
av_fun = "TIME_SERIES_DAILY_ADJUSTED",
outputsize = "full")
# Intraday 15 Min Interval

tq_get("AAPL",
get = "alphavantage",
av_fun = "TIME_SERIES_INTRADAY",
interval = "15min",
outputsize = "full")
# FX DAILY
tq_get("USD/EUR", get = "alphavantage", av_fun = "FX_DAILY", outputsize = "full")
# FX REAL-TIME QUOTE
tq_get("USD/EUR", get = "alphavantage", av_fun = "CURRENCY_EXCHANGE_RATE")
## End(Not run)
tq_index Get all stocks in a stock index or stock exchange in tibble format
Description
Get all stocks in a stock index or stock exchange in tibble format
Usage
tq_index(x, use_fallback = FALSE)
tq_exchange(x)
tq_index 43
tq_index_options()
tq_exchange_options()
Arguments
x A single character string, a character vector or tibble representing a single stock
index or multiple stock indexes.
use_fallback A boolean that can be used to return a fallback data set last downloaded when
the package was updated. Useful if the website is down. Set to FALSE by default.
Details
tq_index() returns the stock symbol, company name, weight, and sector of every stock in an index.
The source is www.ssga.com.
tq_index_options() returns a list of stock indexes you can choose from.
tq_exchange() returns the stock symbol, company, last sale price, market capitalization, sector and
industry of every stock in an exchange. Three stock exchanges are available (AMEX, NASDAQ,
and NYSE).
tq_exchange_options() returns a list of stock exchanges you can choose from. The options are
AMEX, NASDAQ and NYSE.
Value
See Also
tq_get() to get stock prices, financials, key stats, etc using the stock symbols.
Examples
# Load libraries
library(tidyquant)
# Get the list of stock index options

tq_index_options()
# Get all stock symbols in a stock index

## Not run:
tq_index("DOW")
## End(Not run)
# Get the list of stock exchange options

tq_exchange_options()
# Get all stocks in a stock exchange

## Not run:
44 tq_mutate
tq_exchange("NYSE")
## End(Not run)
tq_mutate Mutates quantitative data
Description
tq_mutate() adds new variables to an existing tibble; tq_transmute() returns only newly created
columns and is typically used when periodicity changes
Usage
tq_mutate(
data,
select = NULL,
mutate_fun,
col_rename = NULL,
ohlc_fun = NULL,
...
)
tq_mutate_(data, select = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_xy_(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_mutate_fun_options()
tq_transmute(
data,
select = NULL,
mutate_fun,
col_rename = NULL,
ohlc_fun = NULL,
...
)
tq_transmute_(data, select = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_xy_(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)
tq_transmute_fun_options()
tq_mutate 45
Arguments
data A tibble (tidy data frame) of data typically from tq_get().
select The columns to send to the mutation function.
mutate_fun The mutation function from either the xts, quantmod, or TTR package. Execute
tq_mutate_fun_options() to see the full list of options by package.
columns.
ohlc_fun Deprecated. Use select.
... Additional parameters passed to the appropriate mutatation function.
x, y Parameters used with _xy that consist of column names of variables to be passed
Details
tq_mutate and tq_transmute are very flexible wrappers for various xts, quantmod and TTR func-
tions. The main advantage is the results are returned as a tibble and the function can be used with
the tidyverse. tq_mutate is used when additional columns are added to the return data frame.
tq_transmute works exactly like tq_mutate except it only returns the newly created columns.
This is helpful when changing periodicity where the new columns would not have the same number
of rows as the original tibble.
select specifies the columns that get passed to the mutation function. Select works as a more
flexible version of the OHLC extractor functions from quantmod where non-OHLC data works as
well. When select is NULL, all columns are selected. In Example 1 below, close returns the
"close" price and sends this to the mutate function, periodReturn.
mutate_fun is the function that performs the work. In Example 1, this is periodReturn, which
calculates the period returns. The ... are additional arguments passed to the mutate_fun. Think
of the whole operation in Example 1 as the close price, obtained by select = close, being sent
to the periodReturn function along with additional arguments defining how to perform the period
return, which includes period = "daily" and type = "log". Example 4 shows how to apply a
rolling regression.
tq_mutate_xy and tq_transmute_xy are designed to enable working with mutatation functions
that require two primary inputs (e.g. EVWMA, VWAP, etc). Example 2 shows this benefit in
action: using the EVWMA function that uses volume to define the moving average period.
tq_mutate_, tq_mutate_xy_, tq_transmute_, and tq_transmute_xy_ are setup for Non-Standard
Evaluation (NSE). This enables programatically changing column names by modifying the text rep-
resentations. Example 5 shows the difference in implementation. Note that character strings are
being passed to the variables instead of unquoted variable names. See vignette("nse") for more
information.
tq_mutate_fun_options and tq_transmute_fun_options return a list of various financial func-
tions that are compatible with tq_mutate and tq_transmute, respectively.
Value
Returns mutated data in the form of a tibble object.
46 tq_mutate
See Also
tq_get()
Examples
# Load libraries
library(tidyquant)
library(dplyr)
##### Basic Functionality
fb_stock_prices <- FANG %>%

filter(symbol == "FB") %>%
filter(
date >= "2016-01-01",
date <= "2016-12-31"
)
goog_stock_prices <- FANG %>%

filter(symbol == "GOOG") %>%
filter(
date >= "2016-01-01",
date <= "2016-12-31"
)
# Example 1: Return logarithmic daily returns using periodReturn()

fb_stock_prices %>%
tq_mutate(select = close, mutate_fun = periodReturn,
period = "daily", type = "log")
# Example 2: Use tq_mutate_xy to use functions with two columns required

fb_stock_prices %>%
tq_mutate_xy(x = close, y = volume, mutate_fun = EVWMA,
col_rename = "EVWMA")
# Example 3: Using tq_mutate to work with non-OHLC data

tq_get("DCOILWTICO", get = "economic.data") %>%
tq_mutate(select = price, mutate_fun = lag.xts, k = 1, na.pad = TRUE)
# Example 4: Using tq_mutate to apply a rolling regression

fb_returns <- fb_stock_prices %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "fb.returns")
goog_returns <- goog_stock_prices %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "goog.returns")
returns_combined <- left_join(fb_returns, goog_returns, by = "date")
regr_fun <- function(data) {
coef(lm(fb.returns ~ goog.returns, data = as_tibble(data)))
}
returns_combined %>%
tq_mutate(mutate_fun = rollapply,
width = 6,
FUN = regr_fun,
tq_performance 47
by.column = FALSE,
col_rename = c("coef.0", "coef.1"))
# Example 5: Non-standard evaluation:

# Programming with tq_mutate_() and tq_mutate_xy_()
col_name <- "adjusted"
mutate <- c("MACD", "SMA")
tq_mutate_xy_(fb_stock_prices, x = col_name, mutate_fun = mutate[[1]])
tq_performance Computes a wide variety of summary performance metrics from stock

or portfolio returns
Description
Asset and portfolio performance analysis is a deep field with a wide range of theories and methods
for analyzing risk versus reward. The PerformanceAnalytics package consolidates many of the
most widely used performance metrics as functions that can be applied to stock or portfolio returns.
tq_performance implements these performance analysis functions in a tidy way, enabling scaling
analysis using the split, apply, combine framework.
Usage
tq_performance(data, Ra, Rb = NULL, performance_fun, ...)
tq_performance_(data, Ra, Rb = NULL, performance_fun, ...)
tq_performance_fun_options()
Arguments
data A tibble (tidy data frame) of returns in tidy format (i.e long format).
Ra The column of asset returns
Rb The column of baseline returns (for functions that require comparison to a base-
line)
performance_fun
The performance function from PerformanceAnalytics. See tq_performance_fun_options()
for a complete list of integrated functions.
... Additional parameters passed to the PerformanceAnalytics function.
Details
Important concept: Performance is based on the statistical properties of returns, and as a result
this function uses stock or portfolio returns as opposed to stock prices.
tq_performance is a wrapper for various PerformanceAnalytics functions that return portfolio
statistics. The main advantage is the ability to scale with the tidyverse.
48 tq_performance
Ra and Rb are the columns containing asset and baseline returns, respectively. These columns are
mapped to the PerformanceAnalytics functions. Note that Rb is not always required, and in these
instances the argument defaults to Rb = NULL. The user can tell if Rb is required by researching the
underlying performance function.
... are additional arguments that are passed to the PerformanceAnalytics function. Search the
underlying function to see what arguments can be passed through.
tq_performance_fun_options returns a list of compatible PerformanceAnalytics functions that
can be supplied to the performance_fun argument.
Value
See Also
• tq_transmute() which can be used to calculate period returns from a set of stock prices. Use
mutate_fun = periodReturn with the appropriate periodicity such as period = "monthly".
• tq_portfolio() which can be used to aggregate period returns from multiple stocks to period
returns for a portfolio.
• The PerformanceAnalytics package, which contains the underlying functions for the performance_fun
argument. Additional parameters can be passed via ....
Examples
# Load libraries
library(tidyquant)
library(dplyr)
# Use FANG data set

data(FANG)
# Get returns for individual stock components grouped by symbol

Ra <- FANG %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Ra")
# Get returns for SP500 as baseline

Rb <- "^GSPC" %>%
tq_get(get = "stock.prices",
from = "2010-01-01",
to = "2015-12-31") %>%
tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Rb")
# Merge stock returns with baseline

RaRb <- left_join(Ra, Rb, by = c("date" = "date"))
##### Performance Metrics #####
# View options
tq_performance_fun_options()
tq_portfolio 49
# Get performance metrics

RaRb %>%
tq_performance(Ra = Ra, performance_fun = SharpeRatio, p = 0.95)
RaRb %>%
tq_performance(Ra = Ra, Rb = Rb, performance_fun = table.CAPM)
tq_portfolio Aggregates a group of returns by asset into portfolio returns
Description
Aggregates a group of returns by asset into portfolio returns
Usage
tq_portfolio(
data,
assets_col,
returns_col,
weights = NULL,
col_rename = NULL,
...
)
tq_portfolio_(
data,
assets_col,
returns_col,
weights = NULL,
col_rename = NULL,
...
)
tq_repeat_df(data, n, index_col_name = "portfolio")
Arguments
data A tibble (tidy data frame) of returns in tidy format (i.e long format).
assets_col The column with assets (securities)
returns_col The column with returns
weights Optional parameter for the asset weights, which can be passed as a numeric
vector the length of the number of assets or a two column tibble with asset
names in first column and weights in second column.
50 tq_portfolio
columns.
... Additional parameters passed to PerformanceAnalytics::Returns.portfolio
n Number of times to repeat a data frame row-wise.
index_col_name A renaming function for the "index" column, used when repeating data frames.
Details
tq_portfolio is a wrapper for PerformanceAnalytics::Returns.portfolio. The main advan-
tage is the results are returned as a tibble and the function can be used with the tidyverse.
assets_col and returns_col are columns within data that are used to compute returns for a
portfolio. The columns should be in "long" format (or "tidy" format) meaning there is only one
column containing all of the assets and one column containing all of the return values (i.e. not in
"wide" format with returns spread by asset).
weights are the weights to be applied to the asset returns. Weights can be input in one of three
options:
• Single Portfolio: A numeric vector of weights that is the same length as unique number of
assets. The weights are applied in the order of the assets.
• Single Portfolio: A two column tibble with assets in the first column and weights in the second
column. The advantage to this method is the weights are mapped to the assets and any unlisted
assets default to a weight of zero.
• Multiple Portfolios: A three column tibble with portfolio index in the first column, assets in
the second column, and weights in the third column. The tibble must be grouped by portfolio
index.
tq_repeat_df is a simple function that repeats a data frame n times row-wise (long-wise), and adds
a new column for a portfolio index. The function is used to assist in Multiple Portfolio analyses,
and is a useful precursor to tq_portfolio.
Value
See Also
• tq_transmute() which can be used to get period returns.
• PerformanceAnalytics::Return.portfolio() which is the underlying function that spec-
ifies which parameters can be passed via ...
Examples
# Load libraries
library(tidyquant)
library(dplyr)
# Use FANG data set

data(FANG)
tq_portfolio 51
# Get returns for individual stock components

monthly_returns_stocks <- FANG %>%
tq_transmute(adjusted, periodReturn, period = "monthly")
##### Portfolio Aggregation Methods #####
# Method 1: Use tq_portfolio with numeric vector of weights
weights <- c(0.50, 0.25, 0.25, 0)

tq_portfolio(data = monthly_returns_stocks,
assets_col = symbol,
returns_col = monthly.returns,
weights = weights,
col_rename = NULL,
wealth.index = FALSE)
# Method 2: Use tq_portfolio with two column tibble and map weights
# Note that GOOG's weighting is zero in Method 1. In Method 2,

# GOOG is not added and same result is achieved.
weights_df <- tibble(symbol = c("FB", "AMZN", "NFLX"),
weights = c(0.50, 0.25, 0.25))
tq_portfolio(data = monthly_returns_stocks,
weights = weights_df,
col_rename = NULL,
# Method 3: Working with multiple portfolios
# 3A: Duplicate monthly_returns_stocks multiple times

mult_monthly_returns_stocks <- tq_repeat_df(monthly_returns_stocks, n = 4)
# 3B: Create weights table grouped by portfolio id

weights <- c(0.50, 0.25, 0.25, 0.00,
0.00, 0.50, 0.25, 0.25,
0.25, 0.00, 0.50, 0.25,
0.25, 0.25, 0.00, 0.50)
stocks <- c("FB", "AMZN", "NFLX", "GOOG")
weights_table <- tibble(stocks) %>%
tq_repeat_df(n = 4) %>%
bind_cols(tibble(weights)) %>%
group_by(portfolio)
# 3C: Scale to multiple portfolios

tq_portfolio(data = mult_monthly_returns_stocks,
weights = weights_table,
col_rename = NULL,
52 tq_portfolio
Index
∗ datasets COUNT_IFS (excel_if_functions), 13

FANG, 23 COUNT_IFS(), 14
COUNT_UNIQUE
ABS (excel_stat_mutation_functions), 19 (excel_stat_summary_functions),
ABS(), 19, 20 21
AS_DATE (excel_date_functions), 5 COUNT_UNIQUE(), 22
AS_DATE(), 9 COV (excel_stat_summary_functions), 21
AS_DATETIME (excel_date_functions), 5 COV(), 22
AS_DATETIME(), 9 CREATE_IFS (excel_if_functions), 13
av_api_key, 2 CREATE_IFS(), 14
av_api_key(), 40, 41 CUMULATIVE_MAX
AVERAGE (excel_stat_summary_functions), (excel_stat_mutation_functions),
21 19
AVERAGE(), 21, 22 CUMULATIVE_MEAN
AVERAGE_IFS (excel_if_functions), 13 (excel_stat_mutation_functions),
AVERAGE_IFS(), 14 19
CUMULATIVE_MEDIAN
CEILING_DATE (excel_date_functions), 5 (excel_stat_mutation_functions),
CEILING_DAY (excel_date_functions), 5 19
CEILING_MONTH (excel_date_functions), 5 CUMULATIVE_MIN
CEILING_QUARTER (excel_date_functions), (excel_stat_mutation_functions),
5 19
CEILING_WEEK (excel_date_functions), 5 CUMULATIVE_PRODUCT
CEILING_YEAR (excel_date_functions), 5 (excel_stat_mutation_functions),
CHANGE (excel_stat_mutation_functions), 19
19 CUMULATIVE_PRODUCT(), 20
CHANGE(), 20 CUMULATIVE_SUM
CHANGE_FIRSTLAST (excel_stat_mutation_functions),
(excel_stat_summary_functions), 19
21 CUMULATIVE_SUM(), 20
CHANGE_FIRSTLAST(), 22
coord_x_date, 3 DATE (excel_date_functions), 5
coord_x_date(), 24, 27, 28, 30, 33 DATE(), 8
coord_x_datetime (coord_x_date), 3 DATE_SEQUENCE (excel_date_functions), 5
COR (excel_stat_summary_functions), 21 DATE_SEQUENCE(), 10
COR(), 22 DATE_TO_DECIMAL (excel_date_functions),
COUNT (excel_stat_summary_functions), 21 5
COUNT(), 22 DATE_TO_NUMERIC (excel_date_functions),
COUNT_DAYS (excel_date_functions), 5 5
COUNT_DAYS(), 10 DATEVALUE (excel_date_functions), 5
53
54 INDEX
DAY (excel_date_functions), 5 geom_chart, 28

DAY(), 9 geom_ma, 30
deprecated, 4 geom_ma(), 3, 30
discrete_scale(), 36 geom_ma_ (geom_ma), 30
DMY (excel_date_functions), 5 ggplot2::aes(), 25, 28, 31
DMY(), 9 ggplot2::aes_(), 25, 28, 31
DMY_H (excel_date_functions), 5 ggplot2::borders(), 26, 29, 32
DMY_HM (excel_date_functions), 5 ggplot2::coord_cartesian(), 4
DMY_HMS (excel_date_functions), 5 ggplot2::fortify(), 25, 29, 32
DOM (excel_date_functions), 5 ggplot2::ggplot(), 25, 29, 31
DOW (excel_date_functions), 5 ggplot2::layer(), 26, 29, 32
EDATE (excel_date_functions), 5 HOLIDAY_SEQUENCE, 10

EDATE(), 9 HOLIDAY_SEQUENCE
EOMONTH (excel_date_functions), 5 (excel_date_functions), 5
EOMONTH(), 5, 9, 10 HOLIDAY_TABLE (excel_date_functions), 5
excel_date_functions, 5 HOLIDAY_TABLE(), 9
excel_financial_math_functions, 11 HOUR (excel_date_functions), 5
excel_if_functions, 13 HOUR(), 9
excel_pivot_table, 16
excel_ref_functions, 17 IRR (excel_financial_math_functions), 11
excel_stat_mutation_functions, 19
excel_stat_summary_functions, 21 LAG (excel_stat_mutation_functions), 19
EXP (excel_stat_mutation_functions), 19 LAG(), 20
EXP(), 20 LAST (excel_stat_summary_functions), 21
LAST(), 22
FANG, 23 LEAD (excel_stat_mutation_functions), 19
FIRST (excel_stat_summary_functions), 21 LEAD(), 20
FIRST(), 22 LOG (excel_stat_mutation_functions), 19
FLOOR_DATE (excel_date_functions), 5 LOG(), 20
FLOOR_DATE(), 10
FLOOR_DAY (excel_date_functions), 5 MAX (excel_stat_summary_functions), 21
FLOOR_DAY(), 10 MAX(), 22
FLOOR_MONTH (excel_date_functions), 5 MAX_IFS (excel_if_functions), 13
FLOOR_MONTH(), 10 MAX_IFS(), 14
FLOOR_QUARTER (excel_date_functions), 5 MDAY (excel_date_functions), 5
FLOOR_QUARTER(), 10 MDY (excel_date_functions), 5
FLOOR_WEEK (excel_date_functions), 5 MDY(), 9
FLOOR_WEEK(), 10 MDY_H (excel_date_functions), 5
FLOOR_YEAR (excel_date_functions), 5 MDY_HM (excel_date_functions), 5
FLOOR_YEAR(), 10 MDY_HMS (excel_date_functions), 5
FV (excel_financial_math_functions), 11 MEDIAN (excel_stat_summary_functions),
FV(), 11 21
MEDIAN(), 22
geom_barchart (geom_chart), 28 MEDIAN_IFS (excel_if_functions), 13
geom_bbands, 24 MEDIAN_IFS(), 14
geom_bbands(), 30 MIN (excel_stat_summary_functions), 21
geom_bbands_ (geom_bbands), 24 MIN(), 22
geom_candlestick (geom_chart), 28 MIN_IFS (excel_if_functions), 13
INDEX 55
MIN_IFS(), 14 ROUND_DATE (excel_date_functions), 5

MINUTE (excel_date_functions), 5 ROUND_DAY (excel_date_functions), 5
MINUTE(), 9 ROUND_MONTH (excel_date_functions), 5
MONTH (excel_date_functions), 5 ROUND_QUARTER (excel_date_functions), 5
MONTH(), 9 ROUND_WEEK (excel_date_functions), 5
MONTHDAY (excel_date_functions), 5 ROUND_YEAR (excel_date_functions), 5
NET_WORKDAYS (excel_date_functions), 5 scale_color_tq (scale_manual), 36

NET_WORKDAYS(), 5, 10 scale_colour_tq (scale_manual), 36
NOW (excel_date_functions), 5 scale_fill_tq (scale_manual), 36
NOW(), 9 scale_manual, 36
NPV (excel_financial_math_functions), 11 scale_manual(), 37
NPV(), 11 SECOND (excel_date_functions), 5
NTH (excel_stat_summary_functions), 21 SECOND(), 9
NTH(), 22 SQRT (excel_stat_mutation_functions), 19
SQRT(), 19, 20
palette_dark (palette_tq), 33
STDEV (excel_stat_summary_functions), 21
palette_green (palette_tq), 33
STDEV(), 22
palette_light (palette_tq), 33
SUM (excel_stat_summary_functions), 21
palette_tq, 33
SUM(), 21, 22
PCT_CHANGE
SUM_IFS (excel_if_functions), 13
(excel_stat_mutation_functions),
SUM_IFS(), 14
19
PCT_CHANGE(), 20 theme_tq, 37
PCT_CHANGE_FIRSTLAST theme_tq(), 36
(excel_stat_summary_functions), theme_tq_dark (theme_tq), 37
21 theme_tq_green (theme_tq), 37
PCT_CHANGE_FIRSTLAST(), 22 tidyquant, 38
PerformanceAnalytics::Return.portfolio(), tiingo_api_key, 38
50 tiingo_api_key(), 40, 41
pivot_table (excel_pivot_table), 16 timetk::summarise_by_time(), 5
pivot_table(), 10 timetk::tk_tbl(), 5
PMT (excel_financial_math_functions), 11 timetk::tk_xts(), 5
PMT(), 13 TODAY (excel_date_functions), 5
PV (excel_financial_math_functions), 11 TODAY(), 9
PV(), 11 tq_exchange (tq_index), 42
QDAY (excel_date_functions), 5 tq_exchange(), 41
quandl_api_key, 34 tq_exchange_options (tq_index), 42
quandl_api_key(), 40, 41 tq_get, 39
quandl_search, 35 tq_get(), 3, 5, 34, 35, 38, 39, 43, 45, 46
QUARTER (excel_date_functions), 5 tq_get_options (tq_get), 39
QUARTER(), 9 tq_index, 42
QUARTERDAY (excel_date_functions), 5 tq_index(), 41
tq_index_options (tq_index), 42
RATE (excel_financial_math_functions), tq_mutate, 44
11 tq_mutate(), 38
Rblpapi::blpConnect(), 40 tq_mutate_ (tq_mutate), 44
RETURN (excel_stat_mutation_functions), tq_mutate_fun_options (tq_mutate), 44
19 tq_mutate_xy (tq_mutate), 44
56 INDEX
tq_mutate_xy_ (tq_mutate), 44
tq_performance, 47
tq_performance(), 38
tq_performance_ (tq_performance), 47
tq_performance_fun_options
(tq_performance), 47
tq_portfolio, 49
tq_portfolio(), 38, 48
tq_portfolio_ (tq_portfolio), 49
tq_repeat_df (tq_portfolio), 49
tq_transform (deprecated), 4
tq_transform_xy (deprecated), 4
tq_transmute (tq_mutate), 44
tq_transmute(), 5, 38, 48, 50
tq_transmute_ (tq_mutate), 44
tq_transmute_fun_options (tq_mutate), 44
tq_transmute_xy (tq_mutate), 44
tq_transmute_xy(), 5
tq_transmute_xy_ (tq_mutate), 44
VAR (excel_stat_summary_functions), 21
VAR(), 22
VLOOKUP (excel_ref_functions), 17
VLOOKUP(), 18
WDAY (excel_date_functions), 5
WEEK (excel_date_functions), 5
WEEK(), 9
WEEKDAY (excel_date_functions), 5
WEEKDAY(), 9
WEEKNUM (excel_date_functions), 5
WEEKNUM_ISO (excel_date_functions), 5
WORKDAY_SEQUENCE
(excel_date_functions), 5
WORKDAY_SEQUENCE(), 10
YEAR (excel_date_functions), 5
YEAR(), 9
YEAR_ISO (excel_date_functions), 5
YEARFRAC (excel_date_functions), 5
YEARFRAC(), 10
YMD (excel_date_functions), 5
YMD(), 9
YMD_H (excel_date_functions), 5
YMD_HM (excel_date_functions), 5
YMD_HM(), 9
YMD_HMS (excel_date_functions), 5
YMD_HMS(), 9

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Package ‘tidyquant’

May 20, 2022

av_api_key Set Alpha Vantage API Key

coord_x_date Zoom in on plot regions using date ranges or date-time ranges

coord_x_datetime(xlim = NULL, ylim = NULL, expand = TRUE)

deprecated Deprecated functions

tq_transform_xy(data, x, y = NULL, mutate_fun, col_rename = NULL, ...)

excel_date_functions Excel Date and Time Functions

• Names in most cases match Excel function names

DATE(year, month, day)

WEEKDAY(x, ..., label = FALSE, abbr = TRUE)

WDAY(x, ..., label = FALSE, abbr = TRUE)

DOW(x, ..., label = FALSE, abbr = TRUE)

MONTH(x, ..., label = FALSE, abbr = TRUE)

QUARTER(x, ..., include_year = FALSE, fiscal_start = 1)

NET_WORKDAYS(start_date, end_date, remove_weekends = TRUE, holidays = NULL)

DATE_SEQUENCE(start_date, end_date, by = "day")

WORKDAY_SEQUENCE(start_date, end_date, remove_weekends = TRUE, holidays = NULL)

calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH")

HOLIDAY_TABLE(years, pattern = ".")

FLOOR_DATE(x, ..., by = "day")

CEILING_DATE(x, ..., by = "day")

ROUND_DATE(x, ..., by = "day")

• General String-to-Date Conversion: AS_DATE(), AS_DATETIME()

Extractors - Returns information from a time-stamp.

• Extractors: SECOND(), MINUTE(), HOUR(), DAY(), WEEK(), MONTH(), QUARTER(), YEAR()

Current Time - Returns the current date/date-time based on your locale.

Date Math - Perform popular Excel date calculations

• EOMONTH() - End of Month

# --- Basic Usage ----

# Current Date-Time ---

# Date Math ---

# Date Sequences ---

# Date Collapsers ---

# --- Usage with tidyverse ---

# Calculate returns by symbol/year/quarter

• Names are similar to Excel function names

FV(rate, nper, pv = 0, pmt = 0, type = 0)

PV(rate, nper, fv = 0, pmt = 0, type = 0)

PMT(rate, nper, pv, fv = 0, type = 0)

RATE(nper, pmt, pv, fv = 0, type = 0)

NPV(c(-1000, 250, 350, 450, 450), rate = 0.05)

IRR(c(-1000, 250, 350, 450, 450))

FV(rate = 0.05, nper = 5, pv = -100, pmt = 0, type = 0)

PV(rate = 0.05, nper = 5, fv = -100, pmt = 0, type = 0)

PMT(nper = 20, rate = 0.05, pv = -100, fv = 0, type = 0)

RATE(nper = 20, pmt = 8, pv = -100, fv = 0, type = 0)

excel_if_functions Excel Summarising "If" Functions

• Names are similar to Excel function names

"AND" Filtering: Multiple cases are evaluated as "AND" filtering operations.

• Summary functions return a single value

Summary Functions - Return a single value from a vector

# --- Basic Usage ---

SUM_IFS(x = 1:10, x > 5)

COUNT_IFS(x = letters, str_detect(x, "a|b|c"))

SUM_IFS(-10:10, x > 8 | x < -5)

# Create your own IFS function (Mind blowingly simple)!

# --- Usage with tidyverse ---

# Count negative returns by month