December 22, 2021
Excel and trading, (free MS Excel template is available BELOW).
VALUE ADDED MONTHLY INDEX (VAMI) (When to Use it?): When you have different trading systems and you want to compare their performance, or if you have different versions of one system and you want to compare them, it is useful to normalize the monthly returns and then compare them with VAMI calculations. Or, you can compare your results on a monthly basis with the performance of the emini S&P (or any other tradeable).
This way, when you are finished, you can compare apples to apples, rather than apples to oranges. With VAMI results you can evaluate the 2 sets of performance results.
Here is an example that compares the S&P to a hypothetical trading system:
Which has performed better?
Here is the excel demonstration file for download (no VBA, no macros).
VAMI with formulas <—DOWNLOAD HERE
Remember, there are many other ways to compare trading system results, such as cumulative equity comparisons, Sharpe ratio comparisons, Gain-To-Pain ratios comparison, Tharpe system performance metrics, etc., etc.
Using VAMI is a good place to start, and so here are the calculations in Excel.
Good luck with your trading!
therivertradingsystem@gmail.com
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