CAGR Calculation by SLPAdvisory

SLPAdvisory INVESTOR

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I have some questions with how the CAGR statistic is being calculated in the summary statistics section. For instance I set my algorithm start data to July 18 2016 (Exactly 2 years ago), and over this period it returns 53.77%. I've always thought the CAGR formula would ((EndVal/StartVal)^(1/Years))-1 or ((1.5377/1)^(.5))-1, which is 24.00%. However in the summary statistics it is saying 10.84% for my CAGR. I'm using a long SetWarmup period and this is the only thing I can think of as the reason for such a dramatic difference. Is this intentional? Just thought I'd bring it up since now I have to recalculate those statistics to check them.

Thank you!

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SLPAdvisory

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SLPAdvisory

851 ,

Did some checking and the CAGR output the summary gave me is equal to what the CAGR formula is if the start date is the start of the warmup period, instead of the start date of the algorithm

Jared Broad

Interesting! Do you mind posting an example which exaggerates the issue? This is the LEAN CAGR calculation. If you can isolate and prove a bug we'll post an issue and flag for a fix.

SLPAdvisory INVESTOR

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