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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. 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:

  • CAGR - Compound Annualized Geometric 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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Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


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