Skip to main content
No. of Recommendations: 12
MapG:
Colmun A is MktD
Colmun F is price

SLOPE(LN(F$404:F$508),$A$404:$A$508)*252


While I can't say this is absolutely wrong, it's not quite how the GTR1 backtester calculates RRS, and it's probably not how BarryDTO's or my old RRS spreadsheets calcualted it. We calculate the slope of daily log-prices against market date ordinals, not dates. So if both Friday and Monday are market dates, then Monday's ordinal is one more than Friday's. It doesn't matter how the market dates are numbered, so long as they increase by one each market date and no dates are skipped in your price data. The eaiest way to do this would be with the formula

SLOPE(LN(F$404:F$508),ROW($F$404:$F$508))*252

There's no need to even create the column of market date ordinals.

Gary's formula would treat the log prices from Friday and Monday as three days apart, which will produce slopes of less magnitude than the market date ordinal approach. And that's only when the dates are in a format recognized by Excel, and when Excel is converting dates to its own calendar day ordinals under the hood correctly. If the dates are in an unrecognized format, like YYYYMMDD (as printed in all GTR1 output), then your results will be complete garbage.

Robbie Geary
Print the post  

Announcements

What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.