how to compare the returns of multiple ETF pairs?

how to compare the returns of multiple ETF pairs?

Amritendu Maji
2017-06-14 20:01:28

Say I am looking at 4 ETFs, A, B, C and D.

How can I compare the ROC(A using 40% of capital + B using 60% of capital) and the ROC(C using 80% of capital + D using 20% of capital) ?

I am trying to combine various percentages and various pairs.

Thank you,
Maji

QuantShare
2017-06-15 10:15:01

Best Answer

You can type something like:

p = 20;
a = (0.4 * roc(getseries("A", close), p) + 0.6 * roc(getseries("B", close), p)) > (0.8 * roc(getseries("C", close), p) + 0.2 * roc(getseries("D", close), p));

For more advanced stuff such as the calculation of different combinations, you need to use the C# money management tool.

Get more messages

No more messages

Back


Trading Items How far are the close prices from the support line Ratio of the Short to Long-Term Moving Averages - ETF Trading Sys... Market Rule based on the Crossover Between Stock Close prices and... Multiple Time Frames Trading System - Price / Moving Average Cros... Standard Error of the Estimate of a Regression Line	How-to Lessons How to plot a stock using different periods in the same chart How to optimize the stop limit of a trading system How to plot the relative performance of several stocks/indices How to add a metric in the trading system simulation report How to dynamically update the settings of an indicator
Related Forum Threads Compare strategy total returns or benchmarks on a percentage scal... How do you retrieve the entry and exit price for a position? How do I find the close price for an entry matching a custom DB How to browse and search the blog? How to get the last day of the month in C#	Blog Posts How to create market indicators using the composite function - Pa... How to Use the Percentage Scale Buy the best/top rated stocks or how to create powerful rank base... How to create market indicators using the composite function - Pa... Industry Analysis - How to Compare Stocks with their Industries