Page History: LNRet - logarithmic returns
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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))
RemarksLogarithmic 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.