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CAR is the Cumulative Annual Return at any given point in time.
ANN is the one year Annual Return at any given point in time.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" <_sdavis@xxxx> wrote:
> Fred,
>
> Pardon my ignorance, but I still do not understand the difference
betwenn
> CAR% and Ann%.
>
> Could you try to explain it again? Maybe a simple example would
help.
>
> Thanks,
> -Steve
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Thursday, February 20, 2003 10:39 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The Watered Down Semi-Interesting System
>
>
> Sid,
>
> That should not be necessary because that's the first thing in the
> Equity Line indicator (See Below). The code below also includes
the
> later thought of ANN%
>
> /* */
> //--equity-plot-- do not remove this line
>
> MaxGraph = 10;
> GraphZOrder = 1;
> GraphXSpace = 20;
> GraphYSpace = 10;
>
> BIR = IIf(Status("BarInRange") > 0, 1, 0);
>
> BarEq = Equity(1);
> CurEq = Equity();
> MaxEq = Highest(CurEq);
> FlatEq = IIf(BIR, BarsSince(MaxEq > Ref(MaxEq,-1)),0);
> MaxFlat = Highest(FlatEq);
> LMaxFlat = LastValue(MaxFlat) * (1 + GraphYSpace / 100);
> LogEq = log10(CurEq);
>
> CurDD = IIf(BIR, 100 * (MaxEq - CurEq) / MaxEq, 0);
> MaxDD = Highest(CurDD);
> LMaxDD = LastValue(MaxDD) * (1 + GraphYSpace / 100);
> CumDD = Cum(CurDD);
>
> FirstBar = ValueWhen(ExRem(Buy OR Short, 0), Cum(1));
> LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0, Cum
(1)));
> TotBars = LastValue(Cum(1));
> BarNo = ValueWhen(BIR > 0, Cum(1) - FirstBar + 1);
> NoBars = LastValue(BarNo);
>
> Dates = DateNum();
> Days = ValueWhen(BIR > 0, IIf(Dates != Ref(Dates,-1), 1, 0));
> TotDays = Cum(Days);
> BPD = BarNo / TotDays;
>
> CAR = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(BarNo -
> 1))) ^ (1 / (BarNo / BPD / 252)) -1));
> Ann = ValueWhen(BIR > 0, 100 * ((CurEq / Ref(CurEq, -(252 *
> BPD)) - 1)));
> MAR = ValueWhen(BIR > 0, CAR / MaxDD);
> UI = ValueWhen(BIR > 0, sqrt(CumDD / BarNo));
> UPI = (CAR - 5.4) / UI;
> TPI = UPI / MaxDD;
>
> bb0 = LastValue(LinRegIntercept(Ref(LogEq, -(TotBars -
> LastBar)), NoBars));
> mm = LastValue(LinRegSlope(Ref(LogEq, -(TotBars - LastBar)),
> NoBars));
> yy = mm * BarNo + bb0;
>
> BarsCum = ValueWhen(BIR > 0, Cum(BarNo));
> AvgBar = LastValue(BarsCum) / NoBars;
> SRDevSQ = ValueWhen(BIR > 0, sqrt(Cum((BarNo - AvgBar) ^ 2)));
> ErrEq = LastValue(StdErr(Ref(logEq, -(TotBars - LastBar)),
> NoBars));
> KRatio = ValueWhen(BIR > 0, mm * SRDevSQ / ErrEq / sqrt
(NoBars));
>
> TradeEq = IIf(Sell, (BarEq - ValueWhen(Buy, BarEq)) / ValueWhen
(Buy,
> BarEq), 0) +
> IIf(Cover, (BarEq - ValueWhen(Short, BarEq)) /
ValueWhen
> (Short, BarEq), 0);
> PosEq = Cum(IIf(TradeEq > 0, TradeEq, 0));
> NegEq = Cum(IIf(TradeEq < 0, TradeEq, 0));
> PosTrade = Cum(TradeEq > 0);
> NegTrade = Cum(TradeEq < 0);
> AvgPos = PosEq / PosTrade;
> AvgNeg = NegEq / NegTrade;
> PosPct = PosTrade / (PosTrade + NegTrade);
> Expect = (1 + AvgPos / abs(AvgNeg)) * PosPct - 1;
>
> Plot(IIf(BarNo > 0, CAR, -1e10), "CAR%", colorBrightGreen,
> styleNoLine | styleNoLabel);
> Plot(IIf(BarNo > 0, Ann, -1e10), "Ann%", colorBrightGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, -CurDD, -1e10), "CDD%", colorRed,
> styleOwnScale | styleHistogram, -LMaxDD, LMaxDD);
> Plot(IIf(BarNo > 0, -MaxDD, -1e10), "MDD%", colorDarkRed,
> styleOwnScale, -LMaxDD, LMaxDD);
>
> Plot(IIf(BarNo > 0, MAR, -1e10), "MAR", colorBrightGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, UI, -1e10), "UI", colorYellow,
> styleNoLine | styleNoLabel);
> //Plot(IIf(BarNo > 0, UPI, -1e10), "UPI", colorGreen,
> styleNoLine | styleNoLabel);
> //Plot(IIf(BarNo > 0, TPI, -1e10), "TPI", colorGreen,
> styleNoLine);
> //Plot(IIf(BarNo > 0, Expect, -1e10), "Exp", colorGreen,
> styleNoLine);
> //Plot(IIf(BarNo > 0, KRatio, -1e10), "KRatio",colorGreen,
> styleNoLine | styleNoLabel);
>
> Plot(IIf(BarNo > 0, FlatEq, -1e10), "CF", colorYellow,
> styleOwnScale | styleHistogram, -LMaxFlat, LMaxFlat);
> Plot(IIf(BarNo > 0, MaxFlat,-1e10), "MF", colorDarkYellow,
> styleOwnScale, -LMaxFlat, LMaxFlat);
>
> Plot(IIf(BarNo > 0, yy, -1e10), "LinReg",colorBlue,
> styleThick | styleOwnScale | styleNoLabel);
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx>
wrote:
> > At 08:04 PM 02/20/2003 -0500, you wrote:
> >
> > >Fred,
> > >
> > >I get an error in the "FirstBar = ValueWhen(ExRem(Buy OR Short,
> 0),
> > >Cum(1));" at the OR location....
> > >
> > >Can you provide assistance
> >
> > Not Fred, but maybe I can help. That is the error message I got
> when the
> > AA system results were not communicating with the indicator
> module. Check
> > to see that you have /* at the bottom of the AA system
script.
> That
> > seems to enable the link between the tester and the indicator
code.
> >
> > Sid
> >
> >
> > ---
> > Outgoing mail is certified Virus Free.
> > Checked by AVG anti-virus system (http://www.grisoft.com).
> > Version: 6.0.455 / Virus Database: 255 - Release Date:
02/13/2003
>
>
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