LNRet: Indicator Documentation
public LNRet(Bars bars, DataSeries ds, int period)
public LNRet(Bars bars, DataSeries ds, int period, string description)
The LNRet by Dr. Rene Koch (originally developed here
) is used for comuting logarithms of daily returns.
logarithm of daily returns.Remarks
Z(t) := ln(Y(t)) - ln(Y(t - lookback))
Z(t) := ln(Y(t) / Y(t - lookback))
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
- ROC - absolute returns as percentages
- MomentumPct - relative returns as percentages
- Momentum - Difference of Prices. Depends on absolute price level.