|
PureBytes Links
Trading Reference Links
|
Just to correct Mr. Kestner's reference to "Bob Fuch's" should actually be Bob Fulks. Bob has done extensive work in using Sharpe etc. in his trading system development and measurement. His explanation of Sharpe can be seen here: http://www.bobfulks.com/Index.html
He also has an excel spreadsheet that is quite useful in getting a handle the mechanics.
Regards,
Duke Jones, CMT
-------Original Message-------
> From: "Tomasz Janeczko" <amibroker@xxxxxx>
> Subject: Re: [amibroker] K-Ratio in Report
> Sent: 31 Jan 2005 15:34:00
>
> Hello,
>
> Discussed already in detail in the past.
>
> There is "old" and "new" K-ratio because Mr. Kestners (the author of K-ratio)
> changed his mind in the meantime. The "new" is SQRT(NumberOfBars) smaller than
> "old" one.
>
> === Quote from previous posts ===
>
> In his book Mr. Lars Kestner writes:
>
> " The K-ratio is a unitless measure of performance that can be compared across markets and time periods. [ - - - ] Traders should
> search for strategies yielding K-ratios greater than +0.50. Together, the Sharpe ratio and K-ratio are the most important
> measures when evaluating trading strategy performance. Note: When I created the K-ratio in 1996, I thought I had created a
> robust measure to evaluate performance. In mid-2000, trader Bob Fuchs brought a small error to my attention regarding the
> scaling of the K-ratio. He was correct in his critique and I have corrected the error in this text. Publications prior to 2002 will
> show a different formula for the K-ratio. The updated formula in this book is correct."
>
> Old AB versions (before 4.56.1) contained old K-ratio formulation (of 1996) and newest ones contain
> new formulation (from Kestners book of 2003).
>
> The difference between those two formulations (i.e. "trader Bob Fuchs brought a small error to my attention regarding the
> scaling of the K-ratio. " )
> is just the factor denominator that is now (NumberOfObservations) instead of SQRT( NumberOfObservation)
>
> Since (NumberOfObservations)/SQRT(NumberOfObservations) = SQRT(NumberOfObservations)
> it makes it obvious that new K-ratio figures will be SQRT(NumberOfObservations) times smaller than previous.
>
> The relationship between new and old version can be written as:
>
> KRatio( NEW2003 ) = KRatio( OLD1996 )/SQRT(NumberOfObservations)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Clement Chin"
> To:
> Sent: Monday, January 31, 2005 3:38 PM
> Subject: [amibroker] K-Ratio in Report
>
> >
> > Below is the explanation of K-Ratio from User's Guide. I cannot get a figure
> > of 1.0 or more. My figures are around 0.15, 0.17... Please comment on this
> > K-factor. Is it important?
> >
> >
> > K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The
> > higher K ratio is the more consistent return you may expect from the system.
> > Linear regression slope of equity line multiplied by square root of sum of
> > squared deviations of bar number divided by standard error of equity line
> > multiplied by square root of number of bars. More information: Stocks &
> > Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> -------------------------
> YAHOO! GROUPS LINKS
>
> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
-------Original Message-------
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|