Package PerformanceAnalytics will do this for you. ?Return.calculate ?charts.PerformanceSummary ?chart.CumReturns
for starters. Regards, - Brian On Fri, 2011-05-13 at 08:54 -0700, algotr8der 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. > > -- > View this message in context: > http://r.789695.n4.nabble.com/is-there-a-function-that-will-compute-a-cumulative-return-times-series-tp3520559p3520559.html > Sent from the Rmetrics mailing list archive at Nabble.com. > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
