Calculate Returns over Period of Time

Question

I\'m trying to get a time series of returns for holding a certain asset for a specific time.

My dataframe looks like this:

Date          Price
1998-01-01         


        

Answer 1

The following function should do it:

getReturn <- function(data, n=20) {

    #Assumes 'data' is a two-column data frame with date in the first column, price in the second

     num.rows <- nrow(data)

     output.range <- 1:(num.rows-20)

     buy.price  <- data[output.range,2]
     sell.price <- data[output.range+20,2]

     returns <- data.frame(log(sell.price) - log(buy.price))
     returns <- cbind(data[output.range,],returns)
     names(returns) <- c("Date","Price","Return")

     return(returns)

}

Sample input and output:

> head(data)
        Date Price
1 2001-01-01    20
2 2001-01-02    19
3 2001-01-03    19
4 2001-01-04    18
5 2001-01-05    18
6 2001-01-06    18
> return<-getReturn(data)
> head(return)
        Date Price     Return
1 2001-01-01    20 0.09531018
2 2001-01-02    19 0.14660347
3 2001-01-03    19 0.14660347
4 2001-01-04    18 0.20067070
5 2001-01-05    18 0.24512246
6 2001-01-06    18 0.20067070