Calculating Monthly Weighted Return using Daily data

AmiBroker
#1

I have this code:

function CalculateWeightedReturn(sym) 
{
    WeightedReturn = Null;
    Data = Null;
    
    TimeFrameSet(inMonthly);
    
		Data = Foreign(sym,"C");

		WeightedReturn = 100 * ((1 * Nz(Data / Ref(Data,  -1) - 1) +
						         1 * Nz(Data / Ref(Data,  -3) - 1) +
						         2 * Nz(Data / Ref(Data,  -6) - 1) +
						         0 * Nz(Data / Ref(Data, -12) - 1)) / 4)
		;

    TimeFrameRestore();
	WeightedReturn = TimeFrameExpand(WeightedReturn, inMonthly, expandLast); 

    return WeightedReturn;
}

Symbols="IWM,IWP,IWS";

if (Status("stocknum") == 0)
{
	StaticVarRemove("sv*");
	
    // Calculate the Weighted Return values
    for (i=0; (sym = StrExtract(Symbols,i)) != ""; i++) {
        C0 = Foreign(sym,"C");  // for debugging
        WeightedReturn = CalculateWeightedReturn(sym);  // pass in the symbol, do NOT pass in Close due to the timeframe switch
        
        // Store Local variable
        VarSet("WeightedReturn"+sym,WeightedReturn);
        
        // Store Static Variable
        StaticVarSet("svWeightedReturn"+sym,WeightedReturn);
        
        printf("sym=%s\tWeightedReturn=%f\n",sym,WeightedReturn[BarCount-1]);
    }
}

Walking this through the debugger, if my active chart is monthly periodicity I get the correct results. When I switch to daily periodicity the results are incorrect.

Here is a screenshot from the debugger:

image

The problem is on the line Data = Foreign(sym,"C") in the function.

I've read the doc on the TimeFrame* functions as well as the tutorial but can't see what I'm doing wrong.

#2

@LinusVanPelt I haven't had a good look into your code yet but I suspect the solution can be found in the Knowledge Base article that discusses a few methods of mixing foreign data with MultiTimeFrame functionality.

#3

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