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milktrader/lazyequity.jl

Created January 12, 2014 14:38
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Lazy and Series
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lazyequity.jl
julia> using Lazy, Series, MarketData
julia> head(cl)
1-element Array{SeriesPair{Date{ISOCalendar},Float64},1}:
1980-01-03 105.220
julia> @> cl value log diff cumsum expm1 x -> x+1 x -> x[size(x,1)]
1.1647025280364955
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Here is annualized return, but not sure how to pass 505 in so this is hard-coded

julia> @> cl value log diff cumsum expm1 x->x+1 x->x[size(x,1)] x->x^(252/505) x->x-1
0.07905094554845449

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