Log Return Indicator Explained

The Log Return indicator outputs ln(close ÷ previous close) per bar — the return measure quants prefer. Log returns add across time (two +1% log-return bars sum to exactly the two-bar return) and treat up and down moves symmetrically, which makes downstream statistics honest.

How It Works

• ln(closeₜ / closeₜ₋₁), optionally cumulated over the window.
• Additive across bars — ideal for rolling-sum momentum measures.
• Symmetric: a +10% then −10% log sequence nets to zero, unlike percent returns.

How to Trade It

Use rolling sums of log returns as precise momentum scores, threshold single-bar log returns to detect shock bars, or feed the series into Z-Score/StdDev tools for properly normalized reversion logic. It's plumbing — but the right plumbing keeps quant rules honest.

Building It in Setup.Cash

Add Log Return in the strategy builder — the length input controls its sensitivity — and use its value in any entry, exit, or filter condition. You can also combine it with other tools in the Indicators Lab or via the AI indicator generator. See Percent Return for the everyday variant. For the full category overview, see the advanced momentum library guide.

Momentum signals are timing tools — combine them with a trend or regime filter and backtest the exact rules before going live.