One-period returns to multi-period returns

Calculates k-period simple return series from one-period simple return series using the following formula:
R(k) = (1+R_t)*(1+R_(t-1))*...*(1+R_(t-k+1)) - 1

Missing values in the one-period return series are treated as zeros.

Required extensions:
- KNIME Math Expression (JEP) (https://hub.knime.com/knime/extensions/org.knime.features.ext.jep/latest)
- KNIME Quick Forms (https://hub.knime.com/knime/extensions/org.knime.features.js.quickforms/latest)

Options

One-period simple return series:: Column(s) containing one-period simple return series
Window length k:: Lenght of the period for which the returns are calculated

Input Ports

: One or more numeric columns. Each selected column is interpreted as single period simple return series.

Output Ports

: k-period simple return series calculated using the one-period simple return series and window length k that are provided in the input.

Nodes

Math Formula2 ×
Column Filter1 ×
Column Filter Configuration1 ×
Column List Loop Start1 ×
Column Rename1 ×
Show all 14 nodes

Extensions

FeatureKNIME Base nodes
FeatureKNIME Javasnippet
FeatureKNIME Math Expression (JEP)
FeatureKNIME Quick Forms
FeatureKNIME Timeseries nodes