The returns tag has no wiki summary.
7
votes
1answer
714 views
Skewness and Kurtosis under aggregation
Returns possess non-zero skewness and excess kurtosis. If these assets are temporally aggregated both will disappear due to the law of large numbers. To be exact, if we assume IID returns skewness ...
4
votes
2answers
431 views
Daily returns using adjusted close
I want to chart the daily returns of a stock, and I'm using Yahoo finance data to download historic data. I was told to use Adjusted Close, but there seems to be an issue with this.
For ANTO.L, you ...
9
votes
4answers
2k views
Should Sharpe ratio be computed using log returns or relative returns?
I am trying to reconcile some research with some published values of 'Sharpe ratio', and would like to know the 'standard' method for computing the same:
Based on daily returns? Monthly? Weekly?
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5
votes
2answers
936 views
Quantmod: what's the difference between ROC(Cl(SPY)) and ClCl(SPY)
I feel like I'm missing something fundamental here, but I can't shake the feeling that these two series should be equivalent.
/edit: there is also dailyReturn(Cl(SPY)). I've seen all 3 of these ...
7
votes
2answers
411 views
What is a reasonable upper bound on the performance of a daily trading strategy?
I am backtesting an equity trading strategy which trades only once per day. Is there a general rule of thumb for the reasonable upper bound on the rate of return of such a strategy? For example, a ...
0
votes
3answers
719 views
Appropriate method for calculating negative returns on a trading strategy?
I have a cumulative profit/loss time series below for a trading strategy, what is the appropriate way to calculate the returns in percentage for such a series?
My issue is the appropriate ...
