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Dimitris,
Thank you very much for your great help and sorry
for not having answered before, I was out for some days.
I must admit that the formulations given by the
author are not very clear and I have some messages exchanged with
him.
The idea of the compound return is the
following:
The idea is to state that the
traditional equity curve does not give a real picture of the situation
since for example a return of $10 on a stock which value is $100 and the same
$10 return one year later when the stock value is $130 or $70 is not good
picture. Percentage give a more interesting one.
To calculate the geometric return from twotrades,
one winner of 10% and one loser of -10%, divide your percentage values with100
so that 10 becomes 0.10 and -10 becomes -0.10, Now add these values to 1 (see
the first formula you asked about), so that 0.10 becomes 1.10 and -0.10 becomes
0.90 (1 + (-0.10)). Multiply these two values for your compounded geometric
return, which then equals 0.99. To calculate the combined percentage return, do
the same step as above, but backwards, so that 0.99 becomes -0.01 (0.99 -
1), and -0.01 becomes -1% (-0.01 * 100).
Thus, provided that you use all your available
capital for both your trades, a 10% winner followed by a 10% loser (or vice
versa) will make you lose 1% of your original available capital in the end.
I will post here the complete script when
finished.
One more question concerning your
script.
is the jscript portion calculated for eachbar or
only at the end when the AFL script is ended ?
If yes I'm afraid that the running time will much
longer !
Bernard Bourée<A
href="">bernard@xxxx
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, August 16, 2001 8:46
AM
Subject: [amibroker] Geom.profit
Bernard,
I do not know the use of this Geometric
profit(call it gp),
but if you suppose
for example that
1. you buy when stochd() crosses 30<FONT
face=Arial size=2> ascending
2. you sell when stochd() crosses 70
descending
3. you remove all excess signals
4. you initialize gp==1
then the following gives you the graph of this
gp,
calculated on close basis (you buy and sell at
close)
<FONT face=Arial
size=2>s0=cross(stochd(),30);s1=cross(70,stochd());g0=exrem(s0,s1);g1=exrem(s1,s0);buyp=valuewhen(g0==1,c,1);sellp=valuewhen(g1==1,c,1);prr=iif(g1==1,sellp/buyp,1);pr=iif(isempty(prr),1,prr);EnableScript("jscript");<%pr
= VBArray( AFL( "pr" ) ).toArray();gp=new
Array();gp[0]=1;for(i=1;i<pr.length;i++){gp[i]=gp[i-1]*pr[i];}AFL.Var("gp")
=gp ;%>graph0=gp;
The scan for buy-sell arrows was
<FONT face=Arial
size=2>s0=cross(stochd(),30);s1=cross(70,stochd());g0=exrem(s0,s1);g1=exrem(s1,s0);buy=g0;sell=g1;
and the functions to test each step I did
are
<FONT face=Arial
size=2>maxgraph=8;s0=cross(stochd(),30);s1=cross(70,stochd());g0=exrem(s0,s1);g1=exrem(s1,s0);buyp=valuewhen(g0==1,c/5,1);sellp=valuewhen(g1==1,c/5,1);prr=iif(g1==1,sellp/buyp,1);pr=iif(isempty(prr),1,prr);graph0=0.5*g0;graph1=0.5*g1;graph2=buyp;graph2style=1;graph3=sellp;graph4=pr;graph4barcolor=2;
graphed at "pi" graph.
Now, what is the use of this "gp". ?
What does the author says?
Thank you for the exercise.
Dimitris Tsokakis
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