Back

Calculate historical log returns

public void logReturn(string[] tickerSymbols)
{

for(int i = 0; i<tickerSymbols.GetLength(); i++){
var histEq1 = History(tickerSymbols[i], TimeSpan.FromDays(252), Resolution.Daily);
double[] doubleArray = histEq1.ToDoubleArray();
}

Hi,

I am trying to extract the historical data and calculate the daily log returns for a 1 year period. I tried to use the History function to extract the historical prices and then tried to store the prices in a double Array to be able to calculate the log returns for each ticker. When doing it this way, I am getting an error saying

'IEnumarable' does not contain a definition for 'ToDoubleArray'

Is there any easy way to calculate the daily log returns for 1y historical data?

Update Backtest








Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed