Total Return
Create the following r code.
| # TR_F(FILE, column_date, column_total_return, separator) # # arguments: # FILE tab-separated or csv iput data file # dt data column number for yyyymmdd # tr monthly total return number (%) (e.g., 1.23 in input data file or output means 1.23%) # sp separator # "" tab-separated # "csv" csv (comma separated value) TR_F <- function(FILE,dt,tr,sp){ i <- 1 ctr <- 0 OUT <- NULL if(sp=="csv"){ IN = read.table(FILE, header=T, sep=",") } else { IN = read.table(FILE, header=T, sep="\t") } while(i<=nrow(IN)){ ctr <- (1 + ctr) * (1 + (IN[i,tr]/100)) - 1 i <- i+1 } OUT <- ctr*100 return(OUT) } |
| # Total return is 1,044.323%. source("TR_F.r") TR_F("AAPL.txt",1,3,"") |
| [1] 1044.323 |
| TR_F("AAPL.csv",1,3,"csv") |
| [1] 1044.323 |
Monthly and Cumulative Total Return
Create the following r code.
| # MCTR_F(FILE, column_date, column_total_return, separator) # # arguments: # FILE tab-separated or csv iput data file # dt data column number for yyyymmdd # tr monthly total return number (%) (e.g., 1.23 in input data file or output means 1.23%) # sp separator # "" tab-separated # "csv" csv (comma separated value) MCTR_F <- function(FILE,dt,tr,sp){ i <- 1 ctr <- 0 df <- NULL if(sp=="csv"){ IN = read.table(FILE, header=T, sep=",") } else { IN = read.table(FILE, header=T, sep="\t") } while(i<=nrow(IN)){ ctr <- (1 + ctr) * (1 + (IN[i,tr]/100)) - 1 # cumulative monthly returns df <- rbind(df, data.frame(IN[i,dt],IN[i,tr],ctr*100)) i <- i+1 } return(df) } |
| source("MCTR_F.r") MCTR_F("AAPL.txt",1,3,"") |
| IN.i..dt. IN.i..tr. ctr...100 1 2007/01/31 1.0490 1.0490000 2 2007/02/28 -1.3064 -0.2711041 3 2007/03/30 9.8097 9.5120014 4 2007/04/30 7.4158 17.6331924 5 2007/05/31 21.4339 42.8465732 6 2007/06/29 0.7005 43.8472134 7 2007/07/31 7.9646 55.3040686 8 2007/08/31 5.1002 63.2248867 9 2007/09/28 10.8247 80.8934910 10 2007/10/31 23.7701 123.8920547 11 2007/11/30 -4.0695 114.7807675 12 2007/12/31 8.7038 133.4748560 13 2008/01/31 -31.6640 59.5473776 14 2008/02/29 -7.6389 47.3597130 15 2008/03/31 14.7816 69.1418363 16 2008/04/30 21.2195 105.0328882 17 2008/05/30 8.5082 122.4774964 18 2008/06/30 -11.2901 97.3595646 19 2008/07/31 -5.0705 87.3524479 20 2008/08/29 6.6562 99.8230015 21 2008/09/30 -32.9558 33.9697328 22 2008/10/31 -5.3405 26.8150792 23 2008/11/28 -13.8675 9.2289981 24 2008/12/31 -7.8990 0.6009995 25 2009/01/30 5.6005 6.2351585 26 2009/02/27 -0.9098 5.2686310 27 2009/03/31 17.7024 23.9037052 28 2009/04/30 19.7013 48.3143459 29 2009/05/29 7.9313 60.0776016 30 2009/06/30 4.8745 67.8805843 31 2009/07/31 14.7160 92.5858910 32 2009/08/31 2.9500 98.2671748 33 2009/09/30 10.1896 118.4698069 34 2009/10/30 1.6995 122.1827012 35 2009/11/30 6.0531 135.6316423 36 2009/12/31 5.4134 148.3873256 37 2010/01/29 -8.8591 126.3824441 38 2010/02/26 6.5380 141.1833283 39 2010/03/31 14.8470 176.9918170 40 2010/04/30 11.1021 207.7437255 41 2010/05/28 -1.6125 202.7813580 42 2010/06/30 -2.0827 196.4753306 43 2010/07/30 2.2741 203.2174761 44 2010/08/31 -5.5005 186.5389988 45 2010/09/30 16.7215 234.4526175 46 2010/10/29 6.0722 254.7612494 47 2010/11/30 3.3790 266.7486320 48 2010/12/31 3.6670 280.1973043 49 2011/01/31 5.1959 299.9519761 50 2011/02/28 4.0935 316.3240102 51 2011/03/31 -1.3314 310.7810723 52 2011/04/29 0.4656 312.6936690 53 2011/05/31 -0.6569 309.9826843 54 2011/06/30 -3.4960 295.6496897 55 2011/07/29 16.3285 360.2533492 56 2011/08/31 -1.4469 353.5939435 57 2011/09/30 -0.9121 349.4567132 58 2011/10/31 6.1523 377.1086385 59 2011/11/30 -5.5783 350.4940873 60 2011/12/30 5.9655 377.3683121 61 2012/01/31 12.7111 438.0470756 62 2012/02/29 18.8311 539.3672585 63 2012/03/30 10.5284 606.6824010 64 2012/04/30 -2.5969 588.3305657 65 2012/05/31 -1.0702 580.9640520 66 2012/06/29 1.0853 588.3545548 67 2012/07/31 4.5822 619.8963372 68 2012/08/31 9.3850 687.4586085 69 2012/09/28 0.2803 689.6658550 70 2012/10/31 -10.7607 604.6922813 71 2012/11/30 -1.2196 596.0978542 72 2012/12/31 -9.0738 532.9353271 73 2013/01/31 -14.4094 441.7331441 74 2013/02/28 -2.5449 427.9465773 75 2013/03/28 0.2855 429.4538648 76 2013/04/30 0.0271 429.5973468 77 2013/05/31 2.2490 441.5079911 78 2013/06/28 -11.8303 377.4459713 79 2013/07/31 14.1225 444.8732786 80 2013/08/30 8.3772 490.5184028 81 2013/09/30 -2.1481 477.8334770 82 2013/10/31 9.6386 533.5285346 83 2013/11/29 7.0066 577.9173449 84 2013/12/31 0.8902 583.9521651 85 2014/01/31 -10.7697 510.2925687 86 2014/02/28 5.7474 545.3685238 87 2014/03/31 1.9953 558.2455620 88 2014/04/30 9.9396 623.6725379 89 2014/05/30 7.8720 680.6400400 90 2014/06/30 2.7662 702.2341048 91 2014/07/31 2.8731 725.2830929 92 2014/08/29 7.7509 789.2499602 93 2014/09/30 -1.7073 774.0677956 94 2014/10/31 7.1960 836.9657142 95 2014/11/28 10.5965 936.2512861 96 2014/12/31 -7.1891 861.7541448 97 2015/01/30 6.1424 920.8289314 98 2015/02/27 10.0746 1023.6733630 99 2015/03/31 -3.1372 988.4214822 100 2015/04/30 0.5786 994.7190889 101 2015/05/29 4.5312 1044.3230003 |
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