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Sorry,
the formula I gave was wrong. I forgot that I had done this in the past.
So, I guess you have to calculate the bars of one year first. This is about
245 bars for daily charts.
So, the annual returns must be:
Annual gain = gain * barsOfOneYear / daysInChart
and in this case there can be significant differences, indeed, between what
MS says and the real annual gain!
Spyros
Message: 14
Date: Tue, 10 Dec 2002 09:08:15 +1300
From: "Roy Larsen" <rlarsen@xxxxxxxxxxxxxx>
Subject: Re: Re: RE: annualized returns
I haven't included an annualised return in Trade Equity explorations but it
shouldn't be difficult to do if anyone specifically asked for it.
Roy
----- Original Message -----
From: "SR" <raftsp@xxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Tuesday, December 10, 2002 5:44 AM
Subject: [Metastockusers] Re: RE: annualized returns
> 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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