Pine Script_Calmar Ratio Custom Range

• 04/22/2025 at 12:49 PM #246216
  David1998P

  This indicator aims to provide a risk-adjusted return statistic for a security over a selected period. Return is measured as CAGR and risk as Max Drawdown. The ratio of these two gives the Calmar Ratio. It works on any timeframe or range.

  Calmar Ratio Custom Range on TradingView (open-source script)

  It would be great if someone could convert it to ProBuilder.

   

  

  David1998P

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  04/24/2025 at 10:50 AM #246329
  Iván

  Here you have:

  //-------------------------------------------------------// //PRC_Calmar Ratio //version = 0 //23.04.25 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge defparam drawonlastbaronly=true //-----------------------------------------------// // Inputs //-----------------------------------------------// startDate=20250207 startTime=100000 endDate=20250407 endTime=150000 //-----------------------------------------------// // Calculate x1,y1 and x2,y2 //-----------------------------------------------// tm = gettimeframe if tm >= 86400 then if opendate=startdate then idxStart=barindex ValueStart=close endif if opendate=endDate then idxEnd=barindex ValueEnd=close endif else if opendate=startdate and opentime=startTime then idxStart=barindex ValueStart=close endif if opendate=endDate and opentime=endTime then idxEnd=barindex ValueEnd=close endif endif if ValueEnd>ValueStart then r=0 g=255 b=0 else r=255 g=0 b=0 endif //-----------------------------------------------// // Draw and calculations //-----------------------------------------------// if startDate>=EndDate then drawtext("You need more than 1 day between 2 points",0,-100)anchor(top,xshift,yshift) elsif ValueStart=0 or ValueEnd=0 then drawtext("Check the start date you entered. It might be that you don’t have enough bars loaded.Or maybe you entered a day/time when the market was closed",0,-100)anchor(top,xshift,yshift) else if islastbarupdate then n1=barindex-idxStart n2=barindex-idxEnd //-----------------------------------------------// drawpoint(idxStart,ValueStart,5)coloured(r,g,b,30) drawpoint(idxEnd,ValueEnd,5)coloured(r,g,b,30) drawpoint(idxStart,ValueStart,2)coloured(r,g,b) drawpoint(idxEnd,ValueEnd,2)coloured(r,g,b) drawsegment(idxStart,ValueStart,idxEnd,ValueEnd)coloured(r,g,b) //-----------------------------------------------// drawvline(barindex[n1])style(dottedline) drawvline(barindex[n2])style(dottedline) //-----------------------------------------------// daysBetween=endDate-startDate iYears=daysBetween/365 cagr = round((pow(ValueEnd/ValueStart,(1/iyears))-1)*100,2) //-----------------------------------------------// peak=ValueStart maxDD=0 for i=n1 downto n2 do if close[i]>peak then peak=close[i] endif dd=(peak-close[i])/peak*100 if dd>maxDD then maxDD=dd endif next //-----------------------------------------------// MaxDrawDown=round(-maxDD,2) Calmar=round(cagr/maxDD,2) drawtext("CAGR=#cagr#%",-100,-100)anchor(topright,xshift,yshift) drawtext("MaxDD=#MaxDrawDown#%",-100,-120)anchor(topright,xshift,yshift) drawtext("Calmar=#Calmar#",-100,-140)anchor(topright,xshift,yshift) endif endif return

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  //-------------------------------------------------------// //PRC_Calmar Ratio //version = 0 //23.04.25 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge defparam drawonlastbaronly=true //-----------------------------------------------// // Inputs //-----------------------------------------------// startDate=20250207 startTime=100000 endDate=20250407 endTime=150000 //-----------------------------------------------// // Calculate x1,y1 and x2,y2 //-----------------------------------------------// tm = gettimeframe if tm >= 86400 then if opendate=startdate then idxStart=barindex ValueStart=close endif if opendate=endDate then idxEnd=barindex ValueEnd=close endif else if opendate=startdate and opentime=startTime then idxStart=barindex ValueStart=close endif if opendate=endDate and opentime=endTime then idxEnd=barindex ValueEnd=close endif endif if ValueEnd>ValueStart then r=0 g=255 b=0 else r=255 g=0 b=0 endif //-----------------------------------------------// // Draw and calculations //-----------------------------------------------// if startDate>=EndDate then drawtext("You need more than 1 day between 2 points",0,-100)anchor(top,xshift,yshift) elsif ValueStart=0 or ValueEnd=0 then drawtext("Check the start date you entered. It might be that you don’t have enough bars loaded.Or maybe you entered a day/time when the market was closed",0,-100)anchor(top,xshift,yshift) else if islastbarupdate then n1=barindex-idxStart n2=barindex-idxEnd //-----------------------------------------------// drawpoint(idxStart,ValueStart,5)coloured(r,g,b,30) drawpoint(idxEnd,ValueEnd,5)coloured(r,g,b,30) drawpoint(idxStart,ValueStart,2)coloured(r,g,b) drawpoint(idxEnd,ValueEnd,2)coloured(r,g,b) drawsegment(idxStart,ValueStart,idxEnd,ValueEnd)coloured(r,g,b) //-----------------------------------------------// drawvline(barindex[n1])style(dottedline) drawvline(barindex[n2])style(dottedline) //-----------------------------------------------// daysBetween=endDate-startDate iYears=daysBetween/365 cagr = round((pow(ValueEnd/ValueStart,(1/iyears))-1)*100,2) //-----------------------------------------------// peak=ValueStart maxDD=0 for i=n1 downto n2 do if close[i]>peak then peak=close[i] endif dd=(peak-close[i])/peak*100 if dd>maxDD then maxDD=dd endif next //-----------------------------------------------// MaxDrawDown=round(-maxDD,2) Calmar=round(cagr/maxDD,2) drawtext("CAGR=#cagr#%",-100,-100)anchor(topright,xshift,yshift) drawtext("MaxDD=#MaxDrawDown#%",-100,-120)anchor(topright,xshift,yshift) drawtext("Calmar=#Calmar#",-100,-140)anchor(topright,xshift,yshift) endif endif return

  

  Iván

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  04/24/2025 at 3:09 PM #246347
  Iván

  Now it’s better than the previous one.

  //-------------------------------------------------------// //PRC_Calmar Ratio //version = 0 //23.04.25 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge defparam drawonlastbaronly=true //-----------------------------------------------// // Inputs //-----------------------------------------------// startDate=20250207 startTime=100000 endDate=20250407 endTime=150000 //-----------------------------------------------// // Calculate x1,y1 and x2,y2 //-----------------------------------------------// tm = gettimeframe if tm >= 86400 then if opendate=startdate then idxStart=barindex ValueStart=close endif if opendate=endDate then idxEnd=barindex ValueEnd=close endif else if opendate=startdate and opentime=startTime then idxStart=barindex ValueStart=close endif if opendate=endDate and opentime=endTime then idxEnd=barindex ValueEnd=close endif endif if ValueEnd>ValueStart then r=0 g=255 b=0 else r=255 g=0 b=0 endif //-----------------------------------------------// // Draw and calculations //-----------------------------------------------// if startDate>=EndDate then drawtext("You need more than 1 day between 2 points",0,-100)anchor(top,xshift,yshift) elsif ValueStart=0 or ValueEnd=0 then drawtext("Check the start date you entered. It might be that you don’t have enough bars loaded.Or maybe you entered a day/time when the market was closed",0,-100)anchor(top,xshift,yshift) else if islastbarupdate then n1=barindex-idxStart n2=barindex-idxEnd //-----------------------------------------------// drawpoint(idxStart,ValueStart,5)coloured(r,g,b,30) drawpoint(idxEnd,ValueEnd,5)coloured(r,g,b,30) drawpoint(idxStart,ValueStart,2)coloured(r,g,b) drawpoint(idxEnd,ValueEnd,2)coloured(r,g,b) drawsegment(idxStart,ValueStart,idxEnd,ValueEnd)coloured(r,g,b) //-----------------------------------------------// drawvline(barindex[n1])style(dottedline) drawvline(barindex[n2])style(dottedline) //-----------------------------------------------// peak=ValueStart maxDD=0 bars=0 for i=n1 downto n2 do if tm>=86400 then bars=bars+1 else if openday<>openday[1] then bars=bars+1 else bars=bars endif endif if close[i]>peak then peak=close[i] endif dd=(peak-close[i])/peak*100 if dd>maxDD then maxDD=dd endif next //-----------------------------------------------// //---Check timeframe for CAGR calculation--------// if tm = 2592000 then //monthly timeframe n = 12 elsif tm = 604800 then //weekly timeframe n = 52 elsif tm <=86400 then //Other timeframes (daily or less) n = 252 endif iYears=bars/n cagr = round((pow(ValueEnd/ValueStart,(1/iyears))-1)*100,2) //-----------------------------------------------// MaxDrawDown=round(-maxDD,2) Calmar=round(cagr/maxDD,2) drawtext("CAGR=#cagr#%",-100,-100)anchor(topright,xshift,yshift) drawtext("MaxDD=#MaxDrawDown#%",-100,-120)anchor(topright,xshift,yshift) drawtext("Calmar=#Calmar#",-100,-140)anchor(topright,xshift,yshift) endif endif return

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  //-------------------------------------------------------// //PRC_Calmar Ratio //version = 0 //23.04.25 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge defparam drawonlastbaronly=true //-----------------------------------------------// // Inputs //-----------------------------------------------// startDate=20250207 startTime=100000 endDate=20250407 endTime=150000 //-----------------------------------------------// // Calculate x1,y1 and x2,y2 //-----------------------------------------------// tm = gettimeframe if tm >= 86400 then if opendate=startdate then idxStart=barindex ValueStart=close endif if opendate=endDate then idxEnd=barindex ValueEnd=close endif else if opendate=startdate and opentime=startTime then idxStart=barindex ValueStart=close endif if opendate=endDate and opentime=endTime then idxEnd=barindex ValueEnd=close endif endif if ValueEnd>ValueStart then r=0 g=255 b=0 else r=255 g=0 b=0 endif //-----------------------------------------------// // Draw and calculations //-----------------------------------------------// if startDate>=EndDate then drawtext("You need more than 1 day between 2 points",0,-100)anchor(top,xshift,yshift) elsif ValueStart=0 or ValueEnd=0 then drawtext("Check the start date you entered. It might be that you don’t have enough bars loaded.Or maybe you entered a day/time when the market was closed",0,-100)anchor(top,xshift,yshift) else if islastbarupdate then n1=barindex-idxStart n2=barindex-idxEnd //-----------------------------------------------// drawpoint(idxStart,ValueStart,5)coloured(r,g,b,30) drawpoint(idxEnd,ValueEnd,5)coloured(r,g,b,30) drawpoint(idxStart,ValueStart,2)coloured(r,g,b) drawpoint(idxEnd,ValueEnd,2)coloured(r,g,b) drawsegment(idxStart,ValueStart,idxEnd,ValueEnd)coloured(r,g,b) //-----------------------------------------------// drawvline(barindex[n1])style(dottedline) drawvline(barindex[n2])style(dottedline) //-----------------------------------------------// peak=ValueStart maxDD=0 bars=0 for i=n1 downto n2 do if tm>=86400 then bars=bars+1 else if openday<>openday[1] then bars=bars+1 else bars=bars endif endif if close[i]>peak then peak=close[i] endif dd=(peak-close[i])/peak*100 if dd>maxDD then maxDD=dd endif next //-----------------------------------------------// //---Check timeframe for CAGR calculation--------// if tm = 2592000 then //monthly timeframe n = 12 elsif tm = 604800 then //weekly timeframe n = 52 elsif tm <=86400 then //Other timeframes (daily or less) n = 252 endif iYears=bars/n cagr = round((pow(ValueEnd/ValueStart,(1/iyears))-1)*100,2) //-----------------------------------------------// MaxDrawDown=round(-maxDD,2) Calmar=round(cagr/maxDD,2) drawtext("CAGR=#cagr#%",-100,-100)anchor(topright,xshift,yshift) drawtext("MaxDD=#MaxDrawDown#%",-100,-120)anchor(topright,xshift,yshift) drawtext("Calmar=#Calmar#",-100,-140)anchor(topright,xshift,yshift) endif endif return

  

  Iván

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