Monthly/Annual Percent Change Indicators

Sometimes there is a need to know month-to-month or year-to-year percent change statistics within a daily time series. The most obvious case would be when the time series is an equity curve representing a trading strategy based on daily bars. We have created a group of custom indicators that do just that for you:

Monthly%ChangeBar
Monthly%ChangeLine
Annual%ChangeBar
Annual%ChangeLine

Monthly indicators compute the percent change between the last days of two consecutive months. Annual indicators compute percent change between the last days of two consecutive years.

There are two types, “line” and “bar”.

“Line” indicators draw a constant horizontal line across whole month/year. This line represents %change for that particular month/year. These indicators are especially good for visualizing %change on the chart.

“Bar” indicators output just one vertical bar (or, rather, a single point) on the very last day of each month or of each year. Though not particularly visible on the chart (the indicator output looks like very sparse small crosses), these indicators are useful if you want to export the output into a text file for later loading into a spreadsheet or other program for further processing. Since only one point is exported per month/year, the text file will contain a clear monthly or annual summary for the whole time period on the chart.

Care should be taken when applying these indicators to equity curves of trading strategies. These indicators make the following computation:

100*(TV end of period – TV end of previous period) / TV end of previous period

where TV means time series value.

This means the indicators can give really erroneous results in the first and second month or year unless the equity curve begins with an initial investment. Therefore, these indicators should only be used if your trading strategy reinvests its funds (i.e., you have selected the option to buy as many shares as possible with current account balance). But that isn’t enough; you must also add the beginning balance to the equity curve for results to be correct. In other words, insert the following indicator to be used as the equity curve in our new monthly and annual % change indicators:

Add2(beginning balance, equity curve)

If you are not using reinvestment, we have another set of indictors that allow you to specify the amount invested at each trade:

Monthly%ChangeBarNorm
Monthly%ChangeLineNorm
Annual%ChangeBarNorm
Annual%ChangeLineNorm

So the “Norm” types let you give the investment amount if it is fixed (eq, 1000000). Furthermore you do not have to add anything to the equity curve since the following computation is used:

100*(TV end of period – TV end of previous period) / norm

where norm is the constant investment specified by the “Norm” parameter.

To download a self extracting exe containing all of the new 8 indicators click here. After extracting, place the extracted files in the Template folder of your NeuroShell Trader folder. The next time you load NeuroShell, the new indicators will be located in the Custom Indicators category.

Was this article helpful?

Related Articles