how to calculate annualized performance

[NYSEtradinglog]

Hi I am searching for a way to calculate average annualized performance WITHOUT compound interest.

Lets say I have a system or what ever that makes in 4 years 400%. So the big question is what is my average yearly performance ?

Any ideas?

Thanks

 

[NinjaTrader_Dierk]

Quote from NYSEtradinglog:

Hi I am searching for a way to calculate average annualized performance WITHOUT compound interest.

Lets say I have a system or what ever that makes in 4 years 400%. So the big question is what is my average yearly performance ?

Any ideas?

Thanks

Hmmm. I probably did miss the point, but since you not (!!) compounding, why not simply take 100% per year ?

Dierk

 

[NYSEtradinglog]

Dierk the problem is I only have the 400% and this 400% are including compound interest.

Example
http://iasg.pertrac2000.com/SnapshotPT.asp?ID=67

Campel is up 1800 since starded in 1983. So 1800 / 20 are 90%

The Annualized Return is not 90% it is 15.25% as you can see in the information box at the right hand side.

So is there a way to calculate this number down from 1800% ????

D

 

[NinjaTrader_Dierk]

Quote from NYSEtradinglog:

Dierk the problem is I only have the 400% and this 400% are including compound interest.

D

Ahh, now I got your. Sorry for the delay

Try this:
You have ~ 20 years.

(1 + p(t)) = (1 + p(1))*(1 + p(2))*(1 + p(3))* .... (1 + p(20))

Where p(t) is the total profit and p(1...20) are annual profits. Since you assume all annual profits are equal (averaged), the following is true:

1 + p(avg) = power(1 + p(t), 1/20)

or

p(avg) = power(1 + p(t), 1/20) - 1

and here:

power(1 + 18, 1/20) - 1 = 0.1586 = 15.86%

The divergence to 15.25% may be result of the unprecise period (not exactely 20 years).

Hope this helps

Dierk

 

[NYSEtradinglog]

thanks a lot Dierk