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Re: [amibroker] Capture Ratio

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Hi Ken - I am not familiar with the version you are after, and it looks like they are just giving a brief description rather than instructions for duplicating it, but I guess I might read it something like this...?
 
1. calculate monthly returns for fund and index
2. for months where the index is up, break out the returns for fund and index
3. calculate annualized return for #2 above 
 ( doesn't say how they approach this, maybe month-by-month? )
4. divide ann rtn of fund by ann rtn of index to get the up ratio
 
Then repeat 2-4 for down months. Probably wrong but hey, I took a shot!  Good luck, I might try to get more specific instructions if I really wanted to recreate it...
 
Steve
 
----- Original Message -----
From: Ken Close
Sent: Friday, May 09, 2008 1:45 PM
Subject: RE: [amibroker] Capture Ratio

Thanks Steve, I will play with your idea some to see what happens.
 
My understanding (and some brief experimentation) says that by doing the calculations for Up Capture and Down Capture on funds relative to a common benchmark index, you can see the performance of the fund manager (assuming it is a managed fund).
 
I tried something like this but am not sure that the results it produces are what the capture ratio "should look like".
 
Any comments? (anyone?)
 
Ken
 

BenchMName  =  ParamStr("BenchMName","RUT-I");

BM          =  Foreign(BenchMName, "C");

 

LFund       =  IIf(C > Ref(C,-1), ROC(C,1), 0);

LIndex      =  IIf(BM > Ref(BM,-1), ROC(BM,1), 0);

 

TFund       =  Cum(LFund) - 1;

TIndex      =  Cum(Lindex) - 1;

UpCapture   = TFund / TIndex;

 
I am not sure if I should use Sum vs Cum but I could not tell what lookback period to use for the Sum function.
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Steve Dugas
Sent: Friday, May 09, 2008 1:35 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Capture Ratio

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;
ZigEq = Equity( 0 );
 
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 -----
From: Ken Close
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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