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Thank you Graham,
herman
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Thursday, April 24, 2008, 5:36:58 PM, you wrote:
> Hi Herman
> I think this calculates the UPI correctly for a single symbol test. In
> this case it is over 5 years (1260 bars)
> bi = BarIndex();
> BarsPerYear = 252;
> bars = 1260;
> TresuryNotesProfit = 5.4;
> eq = C;
> Heq = HighestSince( bi == (BarCount-bars), eq );
> DD = (Heq-eq)/Heq;
> UI5 = sqrt(Sum( DD^2/bars, bars));
> UPI5 = ( 100*(eq/Ref(eq,-bars)-1)^(BarsPerYear/bars) -
> TresuryNotesProfit ) / UI5;
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