[R-SIG-Finance] Calculating returns on negative time series

[Johnson, Cedrick W.]

I'll look into the materials at the post in more detail shortly, much 
appreciated.

On the series, I could either be long or short. Meaning:

"long" at -117, if it jumps to -122 i've lost -5. Conversely, "short" 
-117 and it jumps to -122 +5.

I hope I explained it well, as I said i'll check the link and do some 
more digging.

regards,
c

On 10/27/2010 12:38 PM, Patrick Burns wrote:
> The post:
> http://www.portfolioprobe.com/2010/10/04/a-tale-of-two-returns/
> may or may not answer your question.
>
> If it does answer your question, then I suspect
> you are using negative values to mean "short".
> Correct?
>
> If it does not answer your question, then can you
> explain the negative part more thoroughly please?
>
> On 27/10/2010 16:54, Johnson, Cedrick W. wrote:
>> Howdy-
>>
>> I *know* I've seen it discussed before on the list, and I've tried to
>> search through all my emails and the archives for it so forgive me for
>> reposting (perhaps I'm using the improper search terms).
>>
>> To calculate the simple returns for a time series above 0, no brainer:
>>
>> I'm using the Return.calculate function to calculate these
>> (method="simple")
>>
>> Things get a little tricky when I throw in time series that are negative
>> (such as spreads):
>>
>> x =
>> c(-117,-122,-129,-129,-134,-136,-136,-140,-143,-143,-143.2,-146.7,-145.8,-143,-141.2,-137.7,-135.5,-133.6) 
>>
>>
>>
>> NaN's are produced when trying to get a "return" time series. I seem to
>> recall doing this
>>
>> xa = abs(x)
>> Return.calculate(xa)
>>
>> 2 0.041847110
>> 3 0.055791360
>> 4 0.000000000
>> 5 0.038027396
>> 6 0.014815086
>> 7 0.000000000
>> 8 0.028987537
>> 9 0.021202208
>> 10 0.000000000
>> 11 0.001397624
>> 12 0.024147431
>> 13 -0.006153866
>> 14 -0.019391189
>> 15 -0.012667305
>> 16 -0.025099919
>> 17 -0.016105765
>> 18 -0.014121379
>>
>> I am thinking that I could take the abs value, once I get the return
>> series just invert it by multiplying by -1. I'm concerned that something
>> could be thrown off by a series that's changing from lets say 1,0,-1
>> (puking on the 0).
>>
>> Can someone point me to anything that addresses this? Not sure the
>> "solution" i outlined above is the proper way to handle this.
>>
>> -c
>>
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>