is there a function that will compute a cumulative return times series
Package PerformanceAnalytics will do this for you. ?Return.calculate ?charts.PerformanceSummary ?chart.CumReturns 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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Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock