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.

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