Weekly returns

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  • #58831
    AvatarLorenzo
    • Topics: 3
    • Replies: 2
    • Posts: 5

    Hi

    what is the best way to calculate weekly returns?

    I am tried with

    PERFORMANCE(PERIOD=week, PERIODAMT=1) / 100

    but results do not seem to be correct.

    #58839
    AvatarLorenzo
    • Topics: 3
    • Replies: 2
    • Posts: 5

    Actually, let me put the question differently. I am new to the model

    I have searched for a formula to calculate weekly returns

    I have ended up on these 2 alternative ones

    ((CLOSE() – CLOSE(WEEK(), OFFSET =1))/CLOSE(WEEK(),OFFSET=1) )

    and

    PERFORMANCE(PERIOD=week, PERIODAMT=1) / 100

     

    I see that for last week there is a difference in the calculated return for US indices

    I assume it is because market was closed on friday and maybe they use different conventions

    can you help me to understand better?

     

    #58865
    DarrenDarren
    • Topics: 62
    • Replies: 502
    • Posts: 564

    Hi Lorenzo,

    You can use either the PERFORMANCE() or CHANGE() function set to 1 week which calculates on a rolling basis (ie Monday’s close to the previous Monday’s close). As Friday was a holiday in the US it will show Thursday June 25th to July 2nd. To calculate the performance from the previous week’s close either change the watchlist timeframe to 1 Week and the Change % column will update to weekly data, or use the Rate of Change function set to Week:

    ROC(Week(PERIODAMOUNT=1), BARS=1)/100

    Capture

    1 user thanked author for this post.
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