LNRet - logarithmic returns

Modified on 2019/01/23 11:00 by Administrator — Categorized as: Community Indicators


public LNRet(Bars bars, DataSeries ds, int period)
public LNRet(Bars bars, DataSeries ds, int period, string 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. Unlike arithmetic returns:

logarithmic returns sum in a correct way: the sum of five logarithmic daily returns is the same as the weekly log return.
the natural log return is the equivalent of the continuously compounded rate of return for the given time period.

Logarithmic returns are the base of most further calculations:

See also