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I found minor error in my original post (as I had been testing
multiple versions). Last two lines of code need to be changed to
to remove the "2"s.
EqKR = EqLRS / EqSE; // LRS (Ann) / StdErr (Ann)
bo.AddCustomMetric("K-Ratio", EqKR[n],"","",6);
The results are still the same and do not match AmiBroker output.
--- In amibroker@xxxxxxxxxxxxxxx, "Ron Rowland" <rowland@xxx> wrote:
>
> I am working on a submission to the UKB involving Custom Metrics
with
> the CBT. I have successfully implemented the AFL for a wide range
of
> system evaluation metrics such as Loss Deviation, Downside
Deviation,
> Sortino Ratio, Treynor Ratio, Information Ratio, and more.
>
> I have also developed a modified version of the K-Ratio that I call
> the Klog-Ratio, which is a more useful version of the K-Ratio for
> systems that compound their returns.
>
> However, I am having one problem. I cannot reproduce the AmiBroker
K-
> Ratio test results. I come close, but not close enough. Here is
my
> example. Hopefully, someone can point out my error.
>
> Backtest run on Current Symbol = SP-CP (S&P Price Index)
> From 12/31/1990 to 12/31/2006 (16 calendar years)
> Starting capital = 1000.
> System = Buy & Hold.
> ----
>
> Amibroker BackTest Results
> Annual Return = 9.53%
> Standard Error = 595.52
> K-Ratio = 0.0239
>
>
> My Custom Metrics code and results
>
> SetCustomBacktestProc("");
> if(Status("action") == actionPortfolio)
> {
> bo = GetBacktesterObject();
> bo.Backtest();
>
> Eq = Foreign("~~~EQUITY", "C"); // Get Equity Line
> n = BarCount-1; // Number of periods
> // This produces a Bacrount of 4035 and n = 4034
> // I assume 252 market days per year when annualizing daily values
>
> // Standard Error
> EqSEd = StdErr(Eq,n); // Std Err (daily)
> bo.AddCustomMetric("Std Err (daily)", EqSEd[n]); // Output
> // This produces a result of 595.52 (matches AmiBroker output)
>
> // To annualize a StdDev or Std Err take daily * sqrt(252)
> EqSE = EqSEd * sqrt(252); // Annualize it
> bo.AddCustomMetric("Std Err Ann", EqSE[n]); // Output
> // This produces a result of 9454.69
>
> // Linear Regression Slope
> EqLRSd = LinRegSlope(Eq,n); // Get Linear Reg Slope
> bo.AddCustomMetric("Equity LRS (daily)", EqLRSd[n]);
> // This produces a result of 0.78
>
> // To annualize a "linear" slope simply multiply by number of
periods
> EqLRS = EqLRSd*252; // Annualize it
> bo.AddCustomMetric("LRSd*252", EqLRS[n]);
> // This produces a result of 195.90
>
> // K-Ratio
> EqKR = EqLRS2 / EqSE; // LRS (Ann) / StdErr (Ann)
> bo.AddCustomMetric("K-Ratio2", EqKR2[n],"","",6);
> // This produces a result of 0.020720
> // AmiBroker test results = 0.0239
> // Close, but no cigar!
> }
>
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