Monthly Returns in Strategies with Market Benchmark

2021년 11월 16일

This is a modified version of this excellent script Monthly Returns in PineScript Strategues by QuantNomad

I liked and used the script but wanted to see how strategy performed vs market on each month/year. So I am sharing back.

The modification consists in adding Market or Buy & Hold performance between parenthesis inside each cell to better see how strategy performed vs market.

Also, 3 red levels and 3 green levels have been used :
For green :
1/ Light when strategy pnl > 0 but < market
2/ medium when strategy pnl > 0 and > market
3/ Dark when strategy pnl > 0 and market < 0 or pnl > market x 2

Same logic in the opposite direction for red.

The strategy provided here is just a showcase of how to use the table in pine script.

Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as well as in historical backtesting.
This post and the script don’t provide any financial advice.

2021년 11월 16일

릴리즈 노트

Refactor code

2021년 11월 16일

릴리즈 노트

Fixed bug with red color level

2021년 12월 7일

릴리즈 노트

Get number precision as input (0 => no digit after the decimal point, 1 => 1 digit after decimal point etc.)