Total return of an ETF available?

General
1

I’ve been building a number of different uncorrelated simulations to put into a book with the goal of keeping drawdowns low. As part of that, I’m trying to build systems with different market timing signals that fire at different times. I’m looking at the canary universe of the system linked below. If the weighted return of either VWO or BND is negative, the system goes risk off.

Can I use the Ret% function to calculate total return for the ETF canary signals? In this case, I’m looking for the screen to return the totalreturn for the VWO ETF over the last 1 year.

showVar(@annVWO,Ret%Chg(251,0,GetSeries"VWO")) ← doesn’t work :frowning:

2

You have bad syntax . Try this

showVar(@annVWO,Ret%Chg(251,0,GetSeries(“VWO”) ) )

3

Thank you for correcting my embarrassing mistake :roll_eyes:

Here is what I have for the VWO Canary return number. Seems to match my hand calculation, so I believe its working correctly.

ShowVar(@CanaryVWO, ( Ret%Chg(21,0,GetSeries(“VWO”))*12 + Ret%Chg(63,0,GetSeries(“VWO”))*4 + Ret%Chg(126,0,GetSeries(“VWO”)) *2 + Ret%Chg(252,0,GetSeries(“VWO”))) / 4 )