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Anthony,
I think your code only gives me the annual return of the index
itself - not the return of my Buy/Sell system. I probably didn't make
that clear enough.
Thomas,
Wow! that is some complex code you have there, which probably will do
the job. I'll study it. Thanks.
I actually achieved what I wanted in a brute force fashion. I added
these lines to my backtest code:
Filter=1;
AddColumn(Equity(),"Equity",1.0);
and ran an 'Exploration'. This gave me daily Equity values all the
way back to 1950. I exported this to Excel and used the Vlookup
function to select the relevant annual dates and related equity.
Easy, but not elegant...
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxx>
wrote:
>
> NewYear = Year() != Ref( Year(), 1 );
>
> StartValue = ValueWhen( NewYear, Close, 2 );
>
> EndValue1 = ValueWhen( NewYear, Close, 1 );
>
> Filter = NewYear;
>
> AddColumn(Year(), "Year", 1.0 );
>
> AddColumn(100*( EndValue1 - StartValue )/StartValue, "Percentage
change" );
>
> ----- Original Message -----
> From: steve_almond
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, February 22, 2009 4:04 AM
> Subject: [amibroker] Annual Returns
>
>
> I have been looking at a backtest on an index going back to 1950.
> Is there a way to calculate or display the return for each
individual
> calendar year?
>
> Like so:
>
> 1950 2.5%
> 1951 -1.9%
> 1952 12.3%
> etc.
>
> Steve
>
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