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Hi,
TJ presented this code some time ago:
Symbol = "~~~OSEQUITY"; // change the ticker to your preference
eq = Foreign( Symbol, "C" );
//if( Name() != Symbol ) Title = "You should change symbol to " +
Symbol;
function TotalDays()
{
yy = Year();
dy = DayOfYear();
LastLeapYear = (yy % 4) == 1 && yy != 2001;
YearChg = yy != Ref(yy, -1);
YearChg = IIf(IsNull(YearChg), False, YearChg);
YearLen = IIf(YearChg, IIf(LastLeapYear, 366, 365), 0);
return Cum(YearLen) + dy - dy[0];
}
dr = 100 * ( eq/Highest(eq) - 1);
profit = 100 * ( eq/eq[0] - 1 );
td = TotalDays();
Days = td[ BarCount - 1 ] - td[ 0 ];
Car = 100 * ( ( eq / eq[ 0 ] ) ^ ( 365 / Days ) - 1 );
Plot( dr, "DD%", colorRed );
Plot( Lowest(dr), "Max DD%", colorBlue );
Plot( profit, "Profit %", colorGreen );
Plot( Car, "CAR", colorDarkGreen );
Plot( Car/Highest( -dr ), "CAR/MDD", colorOrange );
I think the main difference is that he's using calendar days while
you're using trading days.
Greetings,
Thomas
> Is there a formula available for the computation of CAR?
>
> I'm working with this:
>
>
> (Ending Value) /(Beginning Value)^(1/Number of years)-1.
>
>
> On a daily chart, I used number of years = number of bars in trade/
> 251.
>
> But this doesn't match the AB backtest output.
>
> Thanks
>
>
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