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Hi Ken - I don't have the formula you describe
below, but generally speaking I think it is not uncommon for traders to
check and see what % of possible gain their systems are actually capturing.
FWIW, there are a couple of quick methods I use...
1. The Perfect System, shows what gains are
possible if you were right evey day. It just looks forward one day, buys if
tomorrow is up and shorts if tomorrow is down...
TommClose = Ref( Close, 1 );
Buy = Cover =
TommClose > Close;
Short = Sell = TommClose < Close;
PerfectEq = Equity( 0 );
Then you can define your own system, get
it's equity, and calculate the ratio:
PctCaptured = MySystemEq / PerfectEq * 100 //
to see how your system compares.
Unfortunately, I usually find this ratio to be
so small that it only makes me depressed... 8 - )
...so I used the Zig function to come up with
another banchmark that seems more "reachable", based on catching
all the trends...
ZigPct = Param( "Zig Percent", 1, 0.5, 10, 0.5
);
ZigZag = Zig( Close, ZigPct );
ZigZagM1 = Ref(
ZigZag, -1 );
ZigZagM2 = Ref( ZigZag, -2 );
Buy = Cover = ZigZag >
ZigZagM1 AND ZigZagM1 < ZigZagM2;
Short = Sell = ZigZag < ZigZagM1
AND ZigZagM1 > ZigZagM2;
Same procedure for this one, define your own system
and then get the ratio. I find using this one makes me want to try harder
instead of giving up... 8 - )
Anyway, just thought you might possibly find the
idea interesting to play with...
Steve
----- Original Message -----
Sent: Thursday, May 08, 2008 11:15
PM
Subject: [amibroker] Capture Ratio
Has anyone
ever put together some code to calculate a fund's capture
ratio.
How would one go
about doing that?
From one
definition I have found:
"To calculate the up capture ration, we first
isolate all monthly returns for a fund and its benchmark during the periods
then the benchmark had a positive return. We then calculate annualized returns
for both the fund and the benchmark using this isolated data. Next, we divide the up return of the
fund by the up return of the benchmark to obtain the fund's up capture ratio.
The down capture ratio is calculated similarly, except instead of isolating
the monthly returns during the periods where the benchmark had a positive
return, we isolate the monthly returns during the periods when the benchmark
had a negative return."
Any suggestions?
Thanks,
Ken
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