Evaluating Your Equity Curve

["Ken Close" <closeks@xxxx>]

I have developed the formula segment shown below to evaluate the equity
curves produced for a system.

It seems to do a pretty good job of showing the smoothest equity curves -
ranking by either UPI or ANN/dd.

UPI is the Ulcer Performance Index and it shows the risk adjusted return (of
the equity curve in this case, not the stock). ANN/dd is simply the Annual
Return divided by the Maxdd, a more rough measure of risk adjusted return.

I would like to know people's reaction and experience with this (if you try
it).
I would also like to know your input about the length of Per2, the lookback
period overwhich the maxdrawdown is determined. I selected this somewhat
arbitrarily, and have no real idea of the "best" value to use. I have tried
this with Per = Per2 and with various shorter values for Per2 (with Per
always = 252). Almost any combination produces a good ranking of equity
curves (according to my eyeball), although the values in the columns are of
course different. I am, however, uncertain which increments of time should
be entered.

Any comments?

Thanks,

Ken

//Insert after all of your Buy and Sell rules
//Then Explore with n=1

Filter = 1;
Eq=Equity();
Per = 252;
Per2 = 40;
Cdd = (HHV(Eq,Per2) - Eq)/HHV(Eq,Per2);
MaxCdd = HHV(Cdd,252)*100;
R2 = (Sum(Cdd*Cdd,Per))/Per;
UI = 100*sqrt(R2);
Gain = Eq/Ref(Eq,-Per);
ANN = 100 * ((Gain^(252/Per)) - 1);
UPI = (ANN - 0.054)/UI;
AddColumn(MaxCdd,"MaxCdd",1.2);
AddColumn(ANN,"ANN",1.2);
AddColumn(UPI,"UPI",1.3);
AddColumn(ANN/MaxCdd,"ANN/dd",1.3);