Re: [amibroker] Tomasz. Question about Risk-Reward Ratio

["Tomasz Janeczko" <amibroker@xxxxxx>]

Hello,
 
But... I admit that that other results you get seem to suggest 
rather low chopiness of equity curve.
Could you please send a screenshot of equity curve ? 

Also I suggest to discuss beta on dedicated list which is 
amibroker-beta at:
<A 
href="">http://www.egroups.com/messages/amibroker-beta/
 
 
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Tomasz Janeczko 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Sunday, October 05, 2003 10:33 
  PM
  Subject: Re: [amibroker] Tomasz. Question 
  about Risk-Reward Ratio
  
  Hello,
   
  No, THe HIGHER the better. It is linear 
  regression SLOPE (measuring how fast you earn money) divided by Standard Error 
  (Risk)
   
  If two systems produce the SAME profit then the system with 
  higher RRR is preferred because the standard error - i.e fluctuations 
  
  of equity curve (risk) is lower. Otherwise higher values of 
  RRR with the same profit mean smoother equity curve. 
  The value should be > 1. If it is less than 1 it means 
  that you risk more than you can gain.
   
  You are right "Reward/Risk ratio" would be correct but it is 
  traditionally called opposite way .
   
  Best regards,Tomasz Janeczkoamibroker.com
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    <A title=steve2@xxxxxxxxxxxxxxxxxxxx 
    href="">Steve Almond 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">Ami 
    Sent: Sunday, October 05, 2003 10:21 
    PM
    Subject: [amibroker] Tomasz. Question 
    about Risk-Reward Ratio
    
    Tomasz,
     
    Here's you definition of Risk-Reward Ratio:
     
    
    Risk-Reward Ratio - Measure of the relation between the 
    risk inherent in a trading the system compared to its potential gain. Higher 
    is better. Calculated as slope of equity line (expected annual return) 
    divided by its standard error.
     
    I've run some optimizations with the 'new' backtester. My 
    results seem to indicate that lower is better, and indeed if it really is a 
    Risk/Reward ratio, then lower should be better. Otherwise Reward/Risk 
    ratio, I think
     
    See a couple of examples in the attachment.
     
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