Maybe you want to see the PerfomanceAnalytics package?
Or, maybe you're just looking for cumprod?
library(quantmod)
getSymbols('SPY')
ret <- dailyReturn(SPY)
cumret <- cumprod(1+ret)
str(cumret)
On Fri, May 13, 2011 at 10:54 AM, algotr8der <[email protected]> wrote:
> Hello,
>
> Do any of you know whether there exists a function that I can use to
> produce
> a cumulative return time series of an xts object (stock price). I have
> created my own code to do this but I was wondering if there already exists
> a
> function that does what I want as I would like the resulting object to
> remain as a XTS object so I can plot various studies on the same chart.
>
> I have attached an image of a chart that shows the cumulative return time
> series of an ETF and its components.
>
>
> http://r.789695.n4.nabble.com/file/n3520559/Screen_shot_2011-05-13_at_11.31.53_AM.png
> Screen_shot_2011-05-13_at_11.31.53_AM.png
>
> I looked through the 'TTR' package and found very useful functions that
> compute running/window SDs, Means, Cov etc... but was wondering if there
> is something similar for cumulative returns.
>
> --
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> Sent from the Rmetrics mailing list archive at Nabble.com.
>
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