Hi Ken - I am not familiar with the version you are after, and it looks like
they are just giving a brief description rather than instructions for
duplicating it, but I guess I might read it something like this...?
1. calculate monthly returns for fund and index
2. for months where the index is up, break out the returns for fund and index
3. calculate annualized return for #2 above
( doesn't say how they approach this, maybe month-by-month? )
4. divide ann rtn of fund by ann rtn of index to get the up ratio
Then repeat 2-4 for down months. Probably wrong but hey, I took a shot! Good
luck, I might try to get more specific instructions if I really wanted to
recreate it...
Steve
----- Original Message -----
From: Ken Close
To: amibroker@yahoogroups.com
Sent: Friday, May 09, 2008 1:45 PM
Subject: RE: [amibroker] Capture Ratio
Thanks Steve, I will play with your idea some to see what happens.
My understanding (and some brief experimentation) says that by doing the
calculations for Up Capture and Down Capture on funds relative to a common
benchmark index, you can see the performance of the fund manager (assuming it
is a managed fund).
I tried something like this but am not sure that the results it produces are
what the capture ratio "should look like".
Any comments? (anyone?)
Ken
BenchMName = ParamStr("BenchMName","RUT-I");
BM = Foreign(BenchMName, "C");
LFund = IIf(C > Ref(C,-1), ROC(C,1), 0);
LIndex = IIf(BM > Ref(BM,-1), ROC(BM,1), 0);
TFund = Cum(LFund) - 1;
TIndex = Cum(Lindex) - 1;
UpCapture = TFund / TIndex;
I am not sure if I should use Sum vs Cum but I could not tell what lookback
period to use for the Sum function.
------------------------------------------------------------------------------
From: amibroker@yahoogroups.com [mailto:[EMAIL PROTECTED] On Behalf Of Steve
Dugas
Sent: Friday, May 09, 2008 1:35 PM
To: amibroker@yahoogroups.com
Subject: Re: [amibroker] Capture Ratio
Hi Ken - I don't have the formula you describe below, but generally speaking
I think it is not uncommon for traders to check and see what % of possible gain
their systems are actually capturing. FWIW, there are a couple of quick methods
I use...
1. The Perfect System, shows what gains are possible if you were right evey
day. It just looks forward one day, buys if tomorrow is up and shorts if
tomorrow is down...
TommClose = Ref( Close, 1 );
Buy = Cover = TommClose > Close;
Short = Sell = TommClose < Close;
PerfectEq = Equity( 0 );
Then you can define your own system, get it's equity, and calculate the ratio:
PctCaptured = MySystemEq / PerfectEq * 100 // to see how your system
compares.
Unfortunately, I usually find this ratio to be so small that it only makes me
depressed... 8 - )
...so I used the Zig function to come up with another banchmark that seems
more "reachable", based on catching all the trends...
ZigPct = Param( "Zig Percent", 1, 0.5, 10, 0.5 );
ZigZag = Zig( Close, ZigPct );
ZigZagM1 = Ref( ZigZag, -1 );
ZigZagM2 = Ref( ZigZag, -2 );
Buy = Cover = ZigZag > ZigZagM1 AND ZigZagM1 < ZigZagM2;
Short = Sell = ZigZag < ZigZagM1 AND ZigZagM1 > ZigZagM2;
ZigEq = Equity( 0 );
Same procedure for this one, define your own system and then get the ratio. I
find using this one makes me want to try harder instead of giving up... 8 - )
Anyway, just thought you might possibly find the idea interesting to play
with...
Steve
----- Original Message -----
From: Ken Close
To: amibroker@yahoogroups.com
Sent: Thursday, May 08, 2008 11:15 PM
Subject: [amibroker] Capture Ratio
Has anyone ever put together some code to calculate a fund's capture ratio.
How would one go about doing that?
From one definition I have found:
"To calculate the up capture ration, we first isolate all monthly returns
for a fund and its benchmark during the periods then the benchmark had a
positive return. We then calculate annualized returns for both the fund and the
benchmark using this isolated data. Next, we divide the up return of the fund
by the up return of the benchmark to obtain the fund's up capture ratio. The
down capture ratio is calculated similarly, except instead of isolating the
monthly returns during the periods where the benchmark had a positive return,
we isolate the monthly returns during the periods when the benchmark had a
negative return."
Any suggestions?
Thanks,
Ken
No virus found in this incoming message.
Checked by AVG.
Version: 8.0.100 / Virus Database: 269.23.11/1422 - Release Date: 5/8/2008
5:24 PM
