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Amritendu Maji
2017-09-06 01:04:44
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I would like to obtain the data that is shown in the Daily, weekly, monthly and yearly charts. That way, I have the exact numbers and can compare the performance of a system with another system on a monthly basis.
Thank you.
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QuantShare
2017-09-06 11:12:30
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That data cannot be exported directly, however you can create a money management script to export similar data.
This item for example exports equity data to Excel:
Equity and Date Export To Excel
This one makes use of monthly and yearly returns:
Standard Deviation of Monthly/Yearly Returns
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(by MikeMM,
uploaded several months ago)
No notes
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(by QuantShare,
uploaded several months ago)
No notes
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Amritendu Maji
2017-09-10 18:55:26
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I was able to modify the the Standard Deviation script to return annual and monthly returns. However, it just returns the two values in the final report.
I am trying to get the tabular values for the Monthly and Yearly returns that are used to construct the charts. How can I get that?
The importance of monthly and yearly returns cannot be understated for a trading system and that is why I appreciate your giving those values in a chart form. However, we need the values in tabular form so that we can compare performance between various systems on a monthly basis, including performance reported by others. How can I modify the Excel export script to do that?
Thank you.
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QuantShare
2017-09-11 10:28:19
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Please contact support by email if you want a quote on a script that gets monthly and yearly returns data from a money management script.
Please note that currently there is no direct way to get this data.
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SystemTrade
2017-09-19 09:00:54
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Best Answer
... there are DailyReturn, WeeklyReturn, MonthlyReturn and YearlyReturn series arrays available in the metrics class after the simulation run.
You might create a metric (Analysis --> Simulator --> Create a metric) in which you retrieve an array and loop through it (don't forget to activate the metric):
for (int i = 0; i < MonthlyReturn.Count; i++) Global.Trace(MonthlyReturn[i].ToString());
This example prints the monthly returns to the output window (View --> Output).
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Amritendu Maji
2017-09-19 11:04:39
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Thank you SystemTra.de... very much appreciated.
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Amritendu Maji
2017-09-19 22:32:24
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I copied and pasted the formula in the metric window, compiled it and then saved it. I then clicked on metric and selected that "monthly return" metric and made sure that it was checked. However, when I ran a back test, nothing appeared on either of the output or the list output windows.
Not sure what I am doing wrong. Need a little more guidance.
Thank you.
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Amritendu Maji
2017-09-20 01:41:01
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Please disregard my last email. I rebooted the computer and now it works!!
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