CAGR
Use one of these user defined formula:
.CAGR(series, years) = Pow(series / At(series, AddYears(-years)), 1/years) - 1
.CAGRm(series, months) = Pow(series / At(series, AddMonths(-months)), 1/months) - 1
.CAGRobs(series, observation) = Pow(CutStart(series, observation+1) / At(series, observation), 1/Years(observation, Counter())) - 1
Drawdown
Use formula:
Drawdown(series)
For other drawdown examples see Mixing analyses and formulas' Drawdown.
Investment Strategy
Use one of these formulas:
InvestmentStrategy(marketValue, conditionWhenInMarket)
Investment strategy - compound return when in market
InvestmentStrategy(marketValue, buyCondition, sellCondition)
Investment strategy - compound return during periods
InvestmentStrategy(inMarketValue, outOfMarketValue, buyCondition, sellCondition)
Investment strategy - compound return during periods with outOfMarketValue
RSI
Use formula:
Rsi(series, window)
FRA contracts
STIBOR and FRA views using ImmAhead
Appends values of the FRA contracts to the NIBOR 3 month curve. Use user defined formula:
.extended(observation) = let .e1 = .fwd(CutEnd(se3mibr, observation+1), fra_c1_cl, 0, observation) .e2 = .fwd(.e1, fra_c2_cl, 1, observation) .e3 = .fwd(.e2, fra_c3_cl, 2, observation) .e4 = .fwd(.e3, fra_c4_cl, 3, observation) .e5 = .fwd(.e4, fra_c5_cl, 4, observation) in .e5 end