[R-SIG-Finance] Return.Calculate vs ROC

[Brian G. Peterson]

On Sun, 2011-06-12 at 23:20 +0300, Costas Vorlow wrote:
> Hi,
> 
> I am having a bit of trouble with  the following code:
> 
> require(PerformanceAnalytics)
> require(quantmod)
> 
> getSymbols("^GSPC", from="1990-01-01")
> 
> 	retorig<-Return.calculate(Cl(GSPC),method="simple")
> 	retroc<-ROC(Cl(GSPC), type="discrete")

What is the ROC supposed to give you?

Return.calculate will give you simple returns on a buy and hold of GSPC.

for example, this code works fine:

require(PerformanceAnalytics)
require(quantmod)
getSymbols("^GSPC", from="1990-01-01")
retorig<-Return.calculate(Cl(GSPC),method="simple")
charts.PerformanceSummary(retorig, geometric=FALSE, wealth.index=TRUE)

> strategiestest<-merge(retorig,retroc)
> charts.PerformanceSummary(strategiestest, geometric=FALSE, wealth.index)
> shouldn't in the above example retorig=retroc?

Why would the rate of change of the returns be the same as the returns
themselves?  Perhapsnderstand you, but that doesn't make any sense to
me.

> retorig appears to be 0....
> 
> 
> > head(strategiestest)
>            GSPC.Close GSPC.Close.1
> 1990-01-02          0  0.000000000
> 1990-01-03          0 -0.002585560
> 1990-01-04          0 -0.008613000
> 1990-01-05          0 -0.009756235
> 1990-01-08          0  0.004514480
> 1990-01-09          0 -0.011786653
> >
> 
> 
> Many thanks in advance,
> Costas
> 

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock