This ProBuilder code snippet demonstrates how to calculate an equity curve for a trading strategy, taking into account the deduction of overnight fees. The equity curve represents the value of a trading account over time, providing insights into the performance of the trading strategy.

// Initial account balance
account_balance = 10000

// Simulated daily returns
daily_returns = [0.01, -0.005, 0.007, -0.002, 0.003]

// Overnight fee percentage
overnight_fee = 0.0002

// Calculate equity curve
FOR i = 0 TO SIZEOF(daily_returns) - 1
    account_balance = account_balance + (account_balance * daily_returns[i])
    account_balance = account_balance - (account_balance * overnight_fee)
NEXT

RETURN account_balance

This code snippet is structured to simulate the impact of daily returns and overnight fees on an initial trading account balance. Here’s a step-by-step breakdown:

• Initialization: The variable account_balance is set to 10000, representing the starting balance of the trading account.
• Daily Returns Array: daily_returns is an array containing simulated daily return percentages, which affect the account balance positively or negatively.
• Overnight Fee: The overnight_fee variable represents the fee charged for holding positions overnight, expressed as a percentage of the account balance.
• Equity Curve Calculation: A FOR loop iterates through each element in the daily_returns array. For each day:
  • The account balance is updated based on the daily return.
  • The overnight fee is then deducted from the updated account balance.
• Final Account Balance: After processing all daily returns and deducting overnight fees, the final account balance is returned.

This example helps illustrate how to manage and calculate changes in an equity curve with the inclusion of costs such as overnight fees, which are common in trading scenarios.