Would greatly appreciate some help – trying to code Andrea Clenow’s popular momentum indicator. Optuma has LRINT() which I annualised (LRINT()*25). But I then need to calculate R2 to see determine the strength of the correlation. I was thinking of using the intercept function but how do I achieve – “Explained Variation / Total Variation”.
The second question is I am running a re balancing back-test – how can I add a stop loss to test this. It appears stop losses are only available for signal back-testing. PS on my backtest I received a different result by using ROC() 20 days v ROC () 1 month. Is this normal?
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