This metric is calculated in two steps:
- For each symbol, position returns are transformed then multiplied. The resulting value is the growth rate of the strategy equity for a particular symbol.
- The growth rates (for each symbol) are averaged.
The first step calculates the trading rule real performance for each symbol.
Example:
Stock A:
On bar 10: Output = 12% -> Transformation: (1 + (12/100)) = 1 + 0.12 = 1.12
On bar 18: Output = -10%
On bar 30: Output = 5%
The growth rate is: '(1.12 * 0.9 * 1.05) = 1.0584', which means that if we invest 100$ in a security at the simulation start period, we will end up with (100$ * 1.0584 = 105.84$)
The second step averages the growth rates that are calculated for each symbol.
Example:
Stock A -> Growth rate: 5.84%
Stock B -> Growth rate: 20%
Stock C -> Growth rate: 12%
The metric return value is: '(5.84 + 20 + 12) / 3 = 12.61%'.
NB: Symbols that have less than 10 positions are rejected.
You can update this threshold (set by default to 10) by updating the variable 'minposition'.
