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Page Revision: 2017/10/11 08:16

LNRet: Indicator Documentation

Syntax

public LNRet(Bars bars, DataSeries ds, int period)
public LNRet(Bars bars, DataSeries ds, int period, string description)

Parameter Description

bars	A Bars object
ds	Data series
period	Lookback period

Description

The LNRet function is used for computing logarithms of daily returns. Translated to C# from legacy version by Dr. Rene Koch.

logarithm of daily returns.

Z(t) := ln(Y(t)) - ln(Y(t - lookback))

or equivalently:

Z(t) := ln(Y(t) / Y(t - lookback))

Remarks

Logarithmic returns are the "base currency" in quantitative analysis. The time series of logarithmic returns is stationary. Logarithimic returns sum in a correct way: the sum of five logarithmic daily returns is the same as a weekly return.

Logarithmic returns are the base of most further calculations:

• CAGR - Compund Anualized Geometrig Return
• HV - Historical Volatility
• Variance Ratios
  

See also

• ROC - absolute returns as percentages
• MomentumPct - relative returns as percentages
• Momentum - Difference of Prices. Depends on absolute price level.