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LNRet - logarithmic returns

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LNRet: Indicator Documentation

Syntax


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

Parameter Description

barsA Bars object
dsData series
periodLookback 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.

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