Rate of Return (RoR) by DGT

17 ביוני 2020

A rate of return (RoR) is the net gain or loss of an investment over a specified time period, expressed as a percentage of the investment’s initial cost

6 ביולי 2020

הערות שחרור

Display format updated as percentages since we measure changes in percentage with this study

16 ביולי 2020

הערות שחרור

Rate of Return (RoR) also called Return on Investment (ROI) is a performance measure used to evaluate the efficiency of an investment, net gain or loss of an investment over a specified time period, he rate of change in price movement over a period of time to help investors determine the strength of a trend

This study measures monthly, annual and custom length of rate of return

In the previous version, annual and monthly calculations was suitable for crypto market and daily time frame only. Thanks to spetry who find out the issue and warned me

now updated to cover other markets and will be shown for daily timeframe only

Custom length RoR will be calculated in all time frames for all markets.

Reminder: RoR provides identical figures with momentum indicator, only values expressed in percentage

9 באוג׳ 2020

הערות שחרור

This update introduces an experimental application of feedback concept common in Electronic Engineering, attempting to present additional value/insight to the Indicator Rate of Return. RoR, as explained above is a measure of net gain/loss of an financial instrument over a specified period of time, also sometimes called the basic growth rate, or alternatively, return on investment (ROI). Mathematically you may consider RoR same as a Momentum (MOM) or Rate of Change (ROC) Indicator and benefit from their trading concepts.

Feedback concept in Electronic Engineering
Negative feedback (or balancing feedback) is applied to reduce the fluctuations, whether caused by changes in the source or by other disturbances. The applied negative feedback can improve performance, gain stability, linearity and reduce sensitivity to parameter variations due to environment.
Whereas positive feedback tends to lead to instability via exponential growth, oscillation or chaotic behaviour

observations of applying feedback effect :
-emphasis the sudden large price movements
-emphasis the probable reversal or corrections points of momentum
-emphasis stability periods - no affects observed during average prices movements (both direction), rate of return with feedback effect remain almost same as rate of return

Sensitivity can be adjusted with feedback factor provided as user argument, monthly and annual plotting does not benefit from feedback factor

mathematical expression and formulation of feedback effect
our formula of the rate of return is expressed as
rate-of-return = (current value - initial value) / initial value
alternatively, rate-of-return can be expressed by current value / initial value
In Pine,
rate-of-return = source / source(length)

Let’s apply a negative feedback as in electronic engineering concept, just it would be easy to consider the negative feedback in trading as brokerage commission or the effect of inflation over time which are not taken into consideration of simple rate of return calculation

rewriting the formula as:
rate-of-return * source(length) = source
adding negative feedback by subtracts a fraction of current source value from initial source value, we can express
rate-of-return * (source(length) - feedback-factor * source) = source
where feedback-factor is the feedback fraction (with this study value from 0 to 1)
rate-of-return * source(length) - feedback-factor * source * rate-of-return = source
rate-of-return * source(length) = source * ( 1 + feedback-factor * rate-of-return )

the rate-of-return with negative feedback effect becomes
rate-of-return-negative-feedback = source / source(length) = rate-of-return / ( 1 + feedback-factor * rate-of-return )

similarly, positive feedback is adding fraction of current source value to initial source value, which results as
rate-of-return-positive-feedback = rate-of-return / ( 1 - feedback * rate-of-return )


Trading success is all about following your trading strategy and the indicators should fit within your trading strategy, and not to be traded upon solely

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16 בספט׳ 2022

הערות שחרור

update :
* presentation improvements, input option tooltips
* smoothing line addition
* Pine v5 update

ps : positive feedback effect removed, plottings are adjusted to rate of return and the negative balancing feedback effect

29 בספט׳ 2022

הערות שחרור

update : added
* to date RoR plotting options
* performance table option