cumsum(r) is for log returns cumprod(1+r) is for arithmetic On Fri, May 13, 2011 at 11:24 AM, s <[email protected]> wrote:
> 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. > > _______________________________________________ > [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. > [[alternative HTML version deleted]] _______________________________________________ [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.
