On 5/13/11 12:23 PM, Brian G. Peterson wrote: > Package PerformanceAnalytics will do this for you. > > ?Return.calculate > ?charts.PerformanceSummary > ?chart.CumReturns > This is great. Thank you Brian. I tried a suggestion from another gentlemen who indicated I could use the cumsum() function. I will try out the functions in PerformanceAnalytics now. > 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.
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