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Thank you Ken and Fred for the detailed and helpful replies.
Keith
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <fctonetti@xxxx> wrote:
> Keith,
>
> K-Ratio is a measurement of the straightness of the equity curve or
how
> well the equity curve fits its own linear regression if you will.
For
> compounding systems the measurement would be the straightness on a
log
> scale. (See Attached)
>
> UI = Ulcer Index. A measurement of downside volatility. The smaller
> this value is, the less investment ulcers one will have. It is the
> square root of the average of the squared retracements. One may
think
> of it as the bottom half of the standard deviation. It does not
> penalize for upward volatility as does the standard deviation.
>
> UPI = Ulcer performance Index. The greater this number the greater
the
> reward per unit of downside risk. It is calculated by subtracting
5.4%
> from the annualized return to bring that return to the amount above
> risk free Treasury Notes over along period of time. The resultant is
> then divided by the Ulcer Index.
>
> I also attached two charts of systems that I trade, the first of
which
> makes infrequent trades and therefore by its nature must suffer
more of
> the ups and downs then the second which is a frequent trader.
>
> Fred
>
>
>
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