[R-SIG-Finance] Generating Monthly Return Info
peter at braverock.com
Fri Mar 11 05:43:46 CET 2011
> Newbie just learning.
> Trying to figure out how I generate monthly returns information. I have
> daily returns and daily equity for a trading system over a 10 year period
> an xts format. I'd like to collapse the daily data into monthly data. In
> addition, I'd like to be able to create a table of monthly returns by
> I tried table.CalendarReturns() in the PerfomanceAnalytics package but it
> seems like it needs monthly returns as the input.
> Suggestions ?
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