Here is the simple AFL code to compute the 10 year rolling returns for any script. Generally Rolling Returns are computed for 3yr, 5yr, 10yr period. Rolling Returns are basically a performance measure of fund/index/stock over a period of time. Above chart shows current 10 year rolling returns of Nifty at 7.47%.
Rolling Returns are nothing but computation of Historical CAGR. Formula for calculation of CAGR is shown below.
CAGR = [(Ending Price ÷ Beginning Price)^1/n] – 1
where CAGR – Compound Annual Growth Rate
where “n” is the number of time periods (10 years for this example)
Note : To Compute 10 Year Rolling Returns historical data of 10+ years adjusted to split/bonus is required in case of stocks.
Here is the AFL code to compute 10 Year Rolling Returns. Code is designed to adapt to multiple timeframes like Daily, Weekly, Monthly however it is recommended to use weekly/monthly for better accuracy.
Amibroker AFL Code – 10 Year Rolling Returns
https://gist.github.com/8435aa28c0e24d12750854671b40b0f1
i added in ami formula but blank chart… why ?
Make sure you have 10 years+ historical data to get 10 Years rolling returns.
i’m using amibroker 4.80 & have data sinse 2003.
but getting error in Afl program writer ” Ln: 2, Col: 8 : error 30. Syntax error”
It is recommended to test with 5.5 version or above as some of the functions in the afl might not be compatible with older versions.
do you have an “exploration” version of the rolling average code?