cumsum(r) is for log returns
cumprod(1+r) is for arithmetic

On Fri, May 13, 2011 at 11:24 AM, s <algotr8der@gmail.com> wrote:

> On 5/13/11 12:23 PM, Brian G. Peterson wrote:
> > Package PerformanceAnalytics will do this for you.
> >
> > ?Return.calculate
> > ?charts.PerformanceSummary
> > ?chart.CumReturns
> >
> This is great. Thank you Brian. I tried a suggestion from another
> gentlemen who indicated I could use the cumsum() function. I will try
> out the functions in PerformanceAnalytics now.
> > for starters.
> >
> > Regards,
> >
> >    - Brian
> >
> > On Fri, 2011-05-13 at 08:54 -0700, algotr8der wrote:
> >> Hello,
> >>
> >> Do any of you know whether there exists a function that I can use to
> produce
> >> 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 a
> >> 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.
> >>
> >>
> http://r.789695.n4.nabble.com/file/n3520559/Screen_shot_2011-05-13_at_11.31.53_AM.png
> >> Screen_shot_2011-05-13_at_11.31.53_AM.png
> >>
> >> 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.
> >>
> >> --
> >> View this message in context:
> http://r.789695.n4.nabble.com/is-there-a-function-that-will-compute-a-cumulative-return-times-series-tp3520559p3520559.html
> >> Sent from the Rmetrics mailing list archive at Nabble.com.
> >>
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