[R-SIG-Finance] is there a function that will compute a cumulative return times series
algotr8der at gmail.com
Fri May 13 18:22:59 CEST 2011
Thanks you. I will give that a try. Another gentleman also informed me
that I could use cumsum() of returns.
Thank you all.
On 5/13/11 12:18 PM, G See wrote:
> Maybe you want to see the PerfomanceAnalytics package?
> Or, maybe you're just looking for cumprod?
> ret <- dailyReturn(SPY)
> cumret <- cumprod(1+ret)
> On Fri, May 13, 2011 at 10:54 AM, algotr8der <algotr8der at gmail.com> wrote:
>> Do any of you know whether there exists a function that I can use to
>> 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
>> 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.
>> 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.
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