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I have not spx. I tested the MS results using a system on a couple of
securities of my own and indeed there were some differences.
However these differences were very small. My own calculation went like
this:
Annual gain = gain * 365 / days in test.
Have you used the same formula?
If you have and you still see large differences then why don't you try Roy's
TE to get your equity curve and then have the above formula calculate the
correct result?
Maybe Roy has already included annual returns in his work. You can ask him.
Spyros
Message: 7
Date: Sun, 8 Dec 2002 11:41:36 -0800 (PST)
From: trend trader <trend2trader@xxxxxxxxx>
Subject: Re: RE: annualized returns
no that is wrong.
pls do any backtest of the spx since 1960, the spx was at 50 and now at 900,
annulized that is 7% but metastock displays % b/h annual gain at 35%, this
is wrong.
thats why i wanted to see if anyone has already build any indicators
measuring the real annulized returns for strategies or buy / hold.
thanks
SR <raftsp@xxxxxxxxx> wrote:The system tester gives the Annual Percent
Gain/Loss and Annual Buy and Hold
percent gain/loss.
After the test has finished just click on the "Reports.." button and there
you are.
Isn't that what you mean?
Spyros
Message: 7
Date: Sun, 08 Dec 2002 13:56:33 -0000
From: "trend2trader <trend2trader@xxxxxxxxx>" <trend2trader@xxxxxxxxx>
Subject: annulized returns
hi list,
some of my systems are only a few months of the year in the market.
my problem now in comparing all those systems with each other i
would need to calculate the annulized returns.
i.e.
a system trades only 3 months of the year and has an total return of
35% over the past 5 years
the annulized return of this strategy now is 26%
is there a way to build an indicator that does calculate that out of
the equity curve?
thanks in advance
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