I searched the documentation but couldn't find an answer on this.
Let's say I have ten stocks and I want to create a composite index of how those
stocks are performing. The documentation on AddToComposite shows how to
combine closing prices into a composite, but this is a bad solution: a
high-priced stock will dominate the performance of the index.
A better calculation would be to calculate the daily return of each stock in
the index, average the individual returns and record the daily return values.
Then compound them out into a cumulative time series return ... has any one
tried this?
It would seem pretty easy to use ROC(Close,1) with AddToComposite to get the
weighted average prices. What's missing is compounding them out daily into a
cumulative return curve.
