Comparing Total Return/Year - Wealth Lab Forum

Comparing Total Return/Year

Author: balexander1978

Creation Date: 2/20/2015 9:04 PM

Wealth Lab » WealthScript (.NET) » Comparing Total Return/Year

balexander1978

2/20/2015 9:04 PM

I have been trudging through a lot of material and I can't quite find what I'm looking for. If someone has a moment, I would appreciate the help.

Quite simply, as suggested in the title, I would like to chart the total return (% gain/loss, plus dividends) of multiple symbols over the duration of one year. I'm guessing that I am over looking it somewhere.

One thing that I did find was the ROC Multiple Symbols Strategy (below). I like the comparison portion, but again am looking for total return as a percentage.

I did have a somewhat unrelated question about this code as well. Is there a way to make the color of the symbols in the data set that I am running the strategy on keep their color as I scroll through?

Thank you all in advance.

CODE:
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Color:

I have been trudging through a lot of material and I can't quite find what I'm looking for. If someone has a moment, I would appreciate the help.

Quite simply, as suggested in the title, I would like to chart the total return (% gain/loss, plus dividends) of multiple symbols over the duration of one year. I'm guessing that I am over looking it somewhere.

One thing that I did find was the ROC Multiple Symbols Strategy (below). I like the comparison portion, but again am looking for total return as a percentage.

I did have a somewhat unrelated question about this code as well. Is there a way to make the color of the symbols in the data set that I am running the strategy on keep their color as I scroll through?

Thank you all in advance.

[code]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		Random r = new Random();
		
		private Color RandomColor()
		{
			Color randomColor = Color.FromArgb(r.Next(255), r.Next(255), r.Next(255));
			return randomColor;
		}	
			
		protected override void Execute()
		{
			string clickedSym = Bars.Symbol;
			List<DataSeries> rocList = new List<DataSeries>();
            
			foreach( string ds in DataSetSymbols )
			{
				//if( ds != clickedSym )
				rocList.Add( ROC.Series( GetExternalSymbol( 
					DataSetSymbols[DataSetSymbols.IndexOf(ds)], true ).Close, 10 ) );
				}			
			
			HideVolume();
			ChartPane rocPane = CreatePane( 100, true, true );
			foreach( DataSeries ds in rocList )
				PlotSeries( rocPane, rocList[rocList.IndexOf(ds)], RandomColor(), LineStyle.Solid, 1 );

}
	}
}
[/code]

Eugene

2/21/2015 1:19 AM

QUOTE:
Quite simply, as suggested in the title, I would like to chart the total return (% gain/loss, plus dividends) of multiple symbols over the duration of one year.

Code above as well as this sample code (Relative Performance Chart) should chart the individual return for comparison. For the total return, Index-Lab and YTDGain should make it possible:

1. From Tools menu, open Index-Lab, select Basic Index from Index Builder view, highlight your DataSet, click Next, then Finish.
2. Install Community Indicators, restart WLP, then use the YTDGain (Year To Date Gain) indicator. Load up the data for 2 years (don't choose Most Recent, select 01/01/2013 - 12/31/2014 for example).

For the Dow 30 DataSet, the resulting figure would be 7.52% which is the correct figure: Dow up 7.5% for the year

Cone

2/24/2015 1:52 PM

Here's a nice little script with a reusable class to whet your appetite. You just have to instantiate a PerformanceData object by passing the Bars, dates, and a dividend item string to have all the public gain and drawdown metrics and DataSeries at your disposal. The script demonstrates comparing the clicked symbol with the "SPY" benchmark.

CODE:
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Here's a nice little script with a reusable class to whet your appetite. You just have to instantiate a PerformanceData object by passing the Bars, dates, and a dividend item string to have all the public gain and drawdown metrics and DataSeries at your disposal.  The script demonstrates comparing the clicked symbol with the "SPY" benchmark.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class PerformanceDataDemo : WealthScript
	{	
		class PerformanceData
		{
			internal WealthScript _ws;
			internal Bars _bars;
			internal DateTime _startdte;
			internal DateTime _enddte;
			internal int _sBar;
			internal int _eBar;
			internal double _dd;
			internal double _gain;				// Close to Close gain from start to end date			
			internal double _gainmax;			// max gain from DD low to highest point
			internal double _dividendsPerShare; // used in total return calculation
			
			public DataSeries PeakGainSeries;	// Uses High to identify peak gain
			public DataSeries GainSeries;		// Gain w.r.t. Close
			public DataSeries DrawdownSeries;	// DD is from peak High to trough Low
			public DataSeries TotalReturnSeries; // Close gain with dividends
			
			internal IList<FundamentalItem> _fList;
			
			/// <summary>
			/// Calculates closing and peak gain, closing and max drawdown, total return, and the closing gain after the drawdown low for a specified chart range.
			/// </summary>
			/// <param name="ws">pass 'this'</param>
			/// <param name="bars">bar from a secondary series must be synchronized</param>
			/// <param name="start">starting date</param>
			/// <param name="end">ending date</param>
			/// <param name="dividendItem">Per share dividend fundamental item used to calculate total return</param>
			public PerformanceData(WealthScript ws, Bars bars, DateTime start, DateTime end, string dividendItem)
			{
				_ws = ws;
				_bars = bars;
				_startdte = start;
				_enddte = end;				
				if (start > end)
				{
					_startdte = end;
					_enddte = start;
				}
				
				// Secondary bars must be synchronized
				_sBar = _ws.DateTimeToBar(_startdte, false);
				if (_sBar == -1)
					_sBar = 0;
				
				_eBar = _ws.DateTimeToBar(_enddte, false);
				if (_eBar == -1)
					_eBar = _bars.Count - 1;
				
				
				_dd = 0;
				_gain = 0;
				_gainmax = 0;
				_dividendsPerShare = 0;
								
				_fList = _ws.FundamentalDataItems(dividendItem);
				if (_ws.Bars.Symbol != bars.Symbol)
				{
					ws.SetContext(bars.Symbol, true);
					_fList = _ws.FundamentalDataItems(dividendItem);
					ws.RestoreContext();
				}
				
				PeakGainSeries = new DataSeries(bars, bars.Symbol + " Peak Gain %");
				GainSeries = new DataSeries(bars, bars.Symbol + " Gain %");
				DrawdownSeries = new DataSeries(bars, bars.Symbol + " Drawdown %");
				TotalReturnSeries = new DataSeries(bars, bars.Symbol + " Total Return %");
				
				Init();
			}
			
			private void Init()
			{									
				double peak = _bars.High[_sBar];
				
				// Series of cumulative dividends to add to unadjusted prices for total return series
				DataSeries cumDivSeries = new DataSeries(_bars, _bars.Symbol + " Cumulative Dividends");
								
				if (_fList != null && _fList.Count > 0)
				{					
					int k = 0;
					FundamentalItem fi = _fList[0];
					while (fi.Bar < _sBar && k < _fList.Count - 1)	// advance to the first item in range
						fi = _fList[++k];
					
					double cumDivs = 0;
					for (int n = _sBar; n <= _eBar; n++)
					{
						if (n == fi.Bar)
						{
							cumDivs += fi.Value;
							if (k < _fList.Count - 1) 
								fi = _fList[++k];
						}					
						cumDivSeries[n] = cumDivs;
					}
				}
				
				DataSeries trHigh = _bars.High + cumDivSeries;	// Total Return High
				trHigh.Description = "Total Return High";
				
				for(int bar = _sBar + 1; bar <= _eBar; bar++)
				{
					PeakGainSeries[bar] = 100 * (_bars.High[bar] / _bars.Close[_sBar] - 1);
					GainSeries[bar] = 100 * (_bars.Close[bar] / _bars.Close[_sBar] - 1);
					TotalReturnSeries[bar] = 100 * (trHigh[bar] / _bars.Close[_sBar] - 1);
				
					if (_bars.High[bar] > peak)
					{
						DrawdownSeries[bar] = 0;
						peak = _bars.High[bar];
					}
					else
					{
						DrawdownSeries[bar] = 100 * (_bars.Low[bar]/peak - 1);
					}
				}
			}
			
			public void DisplayData(ChartPane cp)
			{
				_ws.DrawLabel(cp, "Gain: " + this.Gain.ToString("#,0.0") + "%");				
				_ws.DrawLabel(cp, "TotRet: " + this.TotalReturn.ToString("#,0.0") + "%");
				_ws.DrawLabel(cp, "Peak Gain: " + this.PeakGain.ToString("#,0.0") + "%");
				_ws.DrawLabel(cp, "Gain After DD Low: " + this.GainFromDrawdownLow.ToString("#,0.0") + "%");
				_ws.DrawLabel(cp, "Max DD: " + this.MaxDrawdown.ToString("#,0.0") + "%");				
			}
			
			public double Gain
			{
				get 
				{
					return GainSeries[_eBar]; 
				}			
			}
			
			// Price gain plus dividends. Assumes that data is not adjusted for dividends!
			public double TotalReturn
			{
				get 
				{			
					if (_fList == null)
						return this.Gain;
					
					return TotalReturnSeries[_eBar];
				}
			}
						
			public double PeakGain
			{
				get 
				{					
					return Highest.Value(_eBar, this.PeakGainSeries, _eBar - _sBar + 1);
				}			
			}
			
			public double GainFromDrawdownLow
			{
				get 
				{
					int ddbar = (int)LowestBar.Value(_eBar, DrawdownSeries, _eBar - _sBar + 1);
					return 100 * (_bars.Close[_eBar] / _bars.Low[ddbar] - 1);
				}			
			}

public double MaxDrawdown
			{
				get 
				{
					return Lowest.Value(_eBar, DrawdownSeries, _eBar - _sBar + 1);					
				}
			}						
		}
		
		
		protected override void Execute()
		{	
			/* Edit string according to your dividend source */
			string dividenditemstring = "Dividend (Yahoo! Finance)";
			
			PerformanceData pd = new PerformanceData(this, Bars, Date[0], Date[Bars.Count - 1], dividenditemstring);
			pd.DisplayData(PricePane);
			
			ChartPane ddPane = CreatePane(40, true, true);
			ChartPane gainPane = CreatePane(60, true, true);
			
			PlotSeries(gainPane, pd.GainSeries, Color.Green, LineStyle.Histogram, 1);
			PlotSeries(gainPane, pd.TotalReturnSeries, Color.Blue, LineStyle.Solid, 2);
			PlotSeries(ddPane, pd.DrawdownSeries, Color.Red, LineStyle.Histogram, 1);
			
			// Compare to a benchmark.  Make sure to use sync'd Bars
			Bars bmbars = GetExternalSymbol("SPY", true);
			PerformanceData bm = new PerformanceData(this, bmbars, Date[0], Date[bmbars.Count - 1], dividenditemstring);
			PlotSeries(gainPane, bm.TotalReturnSeries, Color.Black, LineStyle.Solid, 2);
			PlotSeries(ddPane, bm.DrawdownSeries, Color.Black, LineStyle.Solid, 2);			
		}	
	}
}[/code]