Hi Brian

I did not mean cumprod is not elegant. I was referring to my handling the
signal as an inverted one. Sorry if it was misunderstood! I am not into HFT
so these are for mere backtesting some indicators so I think helps for me
in understanding.

Many Thanks
Raghu

On Mon, Jun 25, 2012 at 9:28 PM, Brian G. Peterson <brian@braverock.com>wrote:

> On Mon, 2012-06-25 at 21:13 +0100, Raghuraman Ramachandran wrote:
> > Do you think there exists any other elegant solution?
> >
> It doesn't get much simpler or more 'elegant' than that.
>
> This is of course too simple to handle nuanced transaction ordering,
> commissions, etc.
>
> > Also do you think rollapply or apply.fromstart etc could also be used
> > to solve such problems?
> >
> Yes, but cumprod is written in C underneath,so it's faster to use it if
> you can.
> >
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>

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