[R-SIG-Finance] log-return indicator

[Brian G. Peterson]

On 02/21/2013 05:44 AM, Dominykas Grigonis wrote:
> Dear everyone,
>
> past 24 hours I have been testing some intraday strategies with
> blotter. Is there an indicator in any package that calculates
> log-returns? It is obviously simple to diff(log(x)), but I would like
> to see the return series in final chart: chart.Posn(portname,
> Symbol=ticker, Dates='2010::') to be able to analyse and spot flaws.
>
> Any ideas?

Transactions are, of course, made in prices, not returns.  blotter 
doesn't know anything about returns or *how* you generate the 
transactions that you tell it about.

There are many pre-built functions to take a price series and generate 
log returns.

?Return.calculate
?ROC
?allReturns

will all work.

chart.Posn uses the newer chart_Series functions from quantmod.  So you 
can easily call add_TA with any of the above or with diff(log(x)) to add 
another panel of log returns to the output of chart.Posn.

Regards,

    - Brian

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