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Keep in mind that the one in that AFL is Log(Equity) based as well
which would not match anything in AMiBroker at this time with or
without the change to what's in the denominator.
--- In amibroker@xxxxxxxxxxxxxxx, Al Venosa <advenosa@xxxx> wrote:
> Pal and others:
>
> In case someone wants to use the code to calculate K-ratio, Fred
> correctly pointed out to me in a later post that the code I showed
was
> the OLD method of calculating K-ratio, i.e., the one that uses
> SQRT(NoBars) in the denominator. The correct version eliminates
the
> SQRT function:
>
> |*KRatio = **ValueWhen**(**Status**(**"LastBarInRange"**) >
**0**, mm
> * SRDevSQ / ErrEq / **NoBars);
> *|
> Fred also pointed out that, since the above code line gives small
> values, one could multiply the numerator by 10 to enable working
with a
> bigger number.
>
> Al Venosa
>
> Pal Anand wrote:
>
> >
> > Sorry, you are correct. Confused it with K-ratio, but it does
gives
> > some idea of how to acceess it, if one knows the formula for
it...
> >
> > rgds, Pal
> > --- In amibroker@xxxxxxxxxxxxxxx, Nigel Rowe <rho@xxxx> wrote:
> > > -----BEGIN PGP SIGNED MESSAGE-----
> > > Hash: SHA1
> > >
> > > <re-sequenced for bottom posting>
> > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
> > > > <danielwardadams@xxxx> wrote:
> > > > > Is there any way to programmatically access the Sharpe
Ratio
> > > > > resulting from a backtest?
> > > > >
> > > > > TIA,
> > > > > Dan
> > >
> > > On Tue, 7 Dec 2004 17:44, Pal Anand wrote:
> > > > Dan,
> > > >
> > > > This may help:
> > > >
> > > > http://finance.groups.yahoo.com/group/amibroker-
ts/message/2369
> > > >
> > > > rgds, Pal
> > >
> > > The word 'sharpe' doesn't appear anywhere on that page. If
that's
> > the page
> > > you meant to reference, how does it help?
> > >
> > > - --
> > > Nigel Rowe
> > > rho@xxxx
> > >
> > >
> > > -----BEGIN PGP SIGNATURE-----
> > > Version: GnuPG v1.2.4 (GNU/Linux)
> > >
> > >
iD8DBQFBtVU6BbmcM2pfckkRAvRlAKCIdU95mcj5VfAd/9Cbv7nhYuOvJACg8kwe
> > > hwRXucGcS3RFp3/9ISFJ41M=
> > > =hAyH
> > > -----END PGP SIGNATURE-----
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
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