Pair Trading Lab Helpdesk & Forum

Pair Trading Lab => Questions & Answers => Topic started by: Thomas Carlson on April 27, 2014, 06:12:52 pm

Title: How are you calculating/accumulating the search statistics?
Post by: Thomas Carlson on April 27, 2014, 06:12:52 pm

On the site, for statistics such as CAGR, DD, etc., over the 10 year and 5 year horizon....are you taking the average (or median, max, min, etc) over each individual occurrences, or by year?  And if the answer is "by year", how do you go about accumulating the statistics for a year?  Thanks for your help.

Tom C

Title: Re: How are you calculating/accumulating the search statistics?
Post by: admin on May 01, 2014, 09:41:20 am

Hello,

for max dd - we just take the worst dd over the whole period.

CAGR is calculated as an average, using the regular formula for the whole period:
http://en.wikipedia.org/wiki/Compound_annual_growth_rate