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Average Growth Rate

by QuantShare, 3637 days ago
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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'.


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Type: Rule Metrics

Object ID: 191


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.