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Results tagged with return
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user 252
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How to calculate daily returns when the cumulative PnL can become negative?
Why don't you use an absolute return series, e.g. 100, -120 and 50, based on your given figures? … White's reality check, permutation checks etc. will work with this type of return series just as well as with log returns (which I presume is the thrust of your question, i.e. you can't take the log of …
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