This “indicator” can be added to the end of any strategy’s code to show yearly and monthly returns.
This is a nice way to quickly see your strategy’s performance over time with regards to profitability; good/bad months/years.
At the moment (v10.2) PRT backtest statistics do not provide this information.
Would appreciate some comments and suggestions for improvements.
Stef
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// yearly and monthly returns once startcapital=100000 // initial capital amount once yearstartcap=startcapital // set initial capital for 1st year once mstartcap=startcapital // set initial capital for 1st month if day<day[1] and month=1 then // new year endcapital=startcapital+strategyprofit // ending capital for the year (previous year) prof=endcapital-yearstartcap // profit for the year (previous year) yearstartcap=endcapital // set starting capital for the new year yearreturn=(prof/startcapital)*100 // yearly return as percentage (previous year) endif if day<day[1] and month>month[1] then // new month mendcapital=startcapital+strategyprofit // ending capital for the month (previous month) mprof=mendcapital-mstartcap // profit for the month (previous month) mstartcap=mendcapital // set starting capital for the new month mreturn=(mprof/startcapital)*100 // monthly return as percentage (previous month) endif graph 0 coloured(0,0,255) // graph zero line graph yearreturn coloured(0,200,0) as "Yearly Return %" // graph yearly return (prev year) graph mreturn coloured(154,0,154) as "Monthly Return %" // graph monthly return (prev month) |
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