Superalgos - Annualized Rate Of Return

Annualized Rate Of Return

Annualized rate of return is the equivalent ROI scaled to one year.

Content

In other words, it is the equivalent annual return received over a given period.

The formula:

 annualized rate of return = 
(((investment + profits) / investments) ^ (365 / days)) - 1

In the context of the episode base asset and episode quoted asset, the calculation is done relative to the corresponding assets, and the overall context.

The formulas:

 tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.annualizedRateOfReturn.value = 
((( tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value +
tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.profitLoss.value ) / 
tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value) ^
(365 / tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.days.value)) - 1

tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.annualizedRateOfReturn.value = 
((( tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value +
tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.profitLoss.value ) / 
tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value) ^
(365 / tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.days.value)) - 1

The JavaScript code:

 tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.annualizedRateOfReturn.value = 
Math.pow(
             ( tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value +
             tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.profitLoss.value ) / 
             tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value
             , 
             (365 / tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.days.value)
        ) - 1

tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.annualizedRateOfReturn.value = 
Math.pow(
             ( tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value +
             tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.profitLoss.value ) / 
             tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value
             , 
             (365 / tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.days.value)
        ) - 1

In the context of the episode statistics, the calculation is done using the consolidated balance, as explained in the profit loss definition.

Note: When the context does not refer to either of the assets in particular, then both asset balances are consolidated, and denominated in the quoted asset.

The JavaScript code:

 tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.annualizedRateOfReturn.value =
Math.pow(
            (
                tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value * 
                tradingEngine.tradingCurrent.tradingEpisode.beginRate.value +
                tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value +
                tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.profitLoss.value +
                tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.profitLoss.value
            ) / 
            (
                tradingEngine.tradingCurrent.tradingEpisode.episodeBaseAsset.beginBalance.value * 
                tradingEngine.tradingCurrent.tradingEpisode.beginRate.value +
                tradingEngine.tradingCurrent.tradingEpisode.episodeQuotedAsset.beginBalance.value 
            ) 
        , 
            (
                365 / tradingEngine.tradingCurrent.tradingEpisode.tradingEpisodeStatistics.days.value
            ) 
        ) - 1

Configuring

Annualized Rate Of Return Configuration

Properties

initialValue allows resetting the initial state of the node to an arbitrary value.

Initial Values

These are the Initial Values for Annualized Rate Of Return configuration:

 {
    "initialValue": 0
}

Examples

This is a list of properties featured by the Annualized Rate Of Return configuration. Expanding a property shows sample values for the property extracted from the current .

Annualized Rate Of Return Menu

The Annualized Rate Of Return node has the following items:

The Configure menu item has the following properties:

action: Configure

label: Configure

iconPathOn: configuration

iconPathOff: configuration

actionFunction: uiObject.configEditor.activate

The Copy Node Path menu item has the following properties:

action: Copy Node Path

label: Copy Node Path

iconPathOn: copy-path

iconPathOff: copy-path

actionFunction: payload.executeAction

actionProject: Visual-Scripting

The Copy Node Value menu item has the following properties:

action: Copy Node Value

label: Copy Node Value

iconPathOn: copy-value

iconPathOff: copy-value

actionFunction: payload.executeAction

actionProject: Visual-Scripting

The Copy Node Type menu item has the following properties:

action: Copy Node Type

label: Copy Node Type

iconPathOn: copy-type

iconPathOff: copy-type

actionFunction: payload.executeAction

actionProject: Visual-Scripting

The Delete menu item has the following properties:

action: Delete UI Object

actionProject: Visual-Scripting

askConfirmation: true

confirmationLabel: Confirm to Delete

label: Delete

iconPathOn: delete-entity

iconPathOff: delete-entity

actionFunction: payload.executeAction

Tip: When a menu item is grayed out, it means that Annualized Rate Of Return already has the required child type that the menu item may add, and only that child is allowed for that case.

Annualized Rate Of Return Attaching Rules

The following are the that govern the attachment of Annualized Rate Of Return with other nodes:

Compatible Types:

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