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?