Simple return for first six weeks of 1999 for SPX

first_six_weeks_1999.jl

julia> using Series, MarketData, Lazy

julia> d1 = date(1999,1,1);

julia> d2 = date(1999,2,15);

julia> @> Op percentchange x->x[[d1:d2]] value sum expm1
0.017947448312809502

I should note that Op is imported via the MarketData package, an unregistered package that provides some constants mostly useful in testing.

The cool-looking @> is a piping operator from the registered Lazy package. (check it out)

I've made percentchange default to returning log returns after much debate (with myself mostly) ... (only with myself, actually)

The rest should be self-explanatory. Note that value is called to separate each SeriesPair's value from its index, at which point it becomes a Float64 array. Then, it's standard boilerplate sum log returns and expm1 them to get total return in simple terms.