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log return to simple return

Open afnhsn opened this issue 8 years ago • 0 comments

In In [23]: TotalReturn = ((1-exp(TargetDF)).sum(1))/num_stocks

Normally to go from log return to simple return, we do: R = exp(r) – 1 But you have done opposite R = 1 - exp(r)

Is there something I misunderstood?

afnhsn avatar Jun 07 '17 13:06 afnhsn