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Excellent! Thanks Thomas!
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 02, 2008 2:51 PM
Subject: Re: [amibroker] Computing CAR
> 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
>>
>>
>> ------------------------------------
>>
>> Please note that this group is for discussion between users only.
>>
>> To get support from AmiBroker please send an e-mail directly to
>> SUPPORT {at} amibroker.com
>>
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>> Yahoo! Groups Links
>>
>>
>>
>
>
> ------------------------------------
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
------------------------------------
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