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
Related Readings and Observations
Code Snippet : ORB – Open Range Breakout Levels – Amibroker AFL Code (Better Version) Open Range Breakout is a simple strategy which monitors first 5min / 15min / 15min / 30min / 60min range from the start of the market. From the opening high range and low range is […]- PercentRank Based Smooth ATR to Predict Change in Volatility – Amibroker AFL Code Is there a way where one can identify market regime shift from low volatility zone to high volatility zone and vice versa? How I can identify stocks with increasing volatility? Is there a […]
- How to Get Moneycontrol News Snippets into Amiboker? Getting the newsfeed directly into my favorite charting software is always been interesting to me. If you are a news-hungry trader/investor possibly you may be also thinking in the same […]
- Code Snippet : Price with Last Trade Price Marker : Amibroker Here is a simple Amibroker AFL code snippet which tracks the last trade price with a dashed horizontal line at LTP. It could be useful for the people who wants to know where the current […]
- Trading the Previous Day High and Previous Day Low Breakout – Do Simple Strategies Really Work? [Part1] Do simple strategies really work in Indian Markets? This curiosity arises when one of our Amibroker Mumbai Participant comes up with a simple trading strategy. Hence the tutorial series, […]
- Absolute Monthly and Yearly Profit/Loss Table – Amibroker AFL Code while back-testing by default Amibroker provides Profit Table in Compounded percentage terms. However the profit table can be customized according to ones requirement. Rather than doing a […]
![Trading the Previous Day High and Previous Day Low Breakout – Do Simple Strategies Really Work? [Part1]](https://i2.wp.com/www.marketcalls.in/wp-content/uploads/2018/06/Prev-Day-High-Low-Breakout-150x150.png?resize=150%2C150&ssl=1)
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?