highfrequency (version 0.2)

rCumSum: Plot cummulative returns

Description

Plots cummulative returns at a certain alignment given a return series.

Usage

rCumSum(x, period = 1, align.by="seconds",align.period = 1, plotit = FALSE, type = "l", cts = TRUE, makeReturns = FALSE)

Arguments

x

Tick data in xts object.

period

Sampling period

align.by

Align the tick data to seconds|minutes|hours

align.period

Align the returns to this period first

plotit

T for plot

type

Line or points

cts

Create calendar time sampling if a non realizedObject is passed

makeReturns

Prices are passed make them into log returns

Value

• Cummulative return vector if plotit = F

Examples

data(sbux.xts)

cumm <- list() 
cumm[[1]] <- rCumSum(sbux.xts, period=1, align.by="seconds", align.period=60) 
cumm[[2]] <- rCumSum(sbux.xts, period=10, align.by="seconds", align.period=60) 
cumm[[3]] <- rCumSum(sbux.xts, period=20, align.by="seconds", align.period=60) 
cumm[[4]] <- rCumSum(sbux.xts, period=30, align.by="seconds", align.period=60) 
plot(cumm[[1]], xlab="", ylab="Cumulative Ruturns", main="Starbucks (SBUX)", sub='20110701', type="p", col=16, lwd=2) 
lines(cumm[[2]], col=2, lwd=2) 
lines(cumm[[3]], col=3, lwd=2) 
lines(cumm[[4]], col=4, lwd=2)