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[amibroker] Re: What is best statistic for straightness of equity curve?



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> K-Ratio is often mentioned for this purpose.

There are a couple of quicky files on K-ratio in the file section of 
this forum - I took notes from Klestners book and posted them there a 
while back.

>From memory the spreadsheet is exactly as written in his book but I 
think there is a typo error and you have to delete the cell/row 
marked in yellow.

Hold the bus though.

I don't think K-ratio is the best way to do it (it might be quick and 
approximate enough for what you want). I will have to have a closer 
look at K-ratio first.

brian_z 


--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> K-Ratio is often mentioned for this purpose.
> http://trader.online.pl/TST/shape_ratio_k-ratio_rina_index.htm
> 
> Mike
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >
> > Hello,
> > 
> > I have my system for intraday trading complete enough that I need 
> to  
> > start selecting goodness criteria for comparing variations.  I 
> have  
> > selected a number of metrics to display in realtime for an n day  
> > backtest like:
> > 
> > total trade count
> > average bars per trade
> > winning trade %
> > trade bars % in green
> > best trade $
> > worst trade $
> > average win $
> > average loss $
> > *total profit $
> > *max draw down $
> > *EDGE (average $ per trade)
> > *I have a graph of the cumulative profit over time and an 
overlaid  
> > straight line plot.  This is the most powerful tool, because it 
> lets  
> > me see the real character of the system.  The straighter the 
line, 
> the  
> > less likely it is over fit to the data and represents a robust 
> system.
> > 
> > I also have a graph of the trade equity on a trade by trade 
basis, 
> so  
> > I can see how good the entry timing is and how a trade progresses 
> on  
> > average or in outlier conditions.
> > 
> > The * items are my key metrics for system comparison.  This 
simple  
> > system runs completely in indicator mode.  I test about 1000-
2000  
> > trades over a 10 week test period.
> > 
> > Because of the type and manner of my trades (1 futures contract 
> only  
> > traded during market hours), the data is easy to judge for 
> goodness.   
> > Since every day is an island, I could even use interesting random 
> day  
> > strategies for in and out of sample data, but so far I just use  
> > various sequential segments.
> > 
> > However, when I am spinning my scroll wheel on parameters while  
> > looking at my charts, it would be nice to have a number that  
> > represents how straight the equity curve is as a first pass -- 
> > especially for when I partially automate the optimization process 
> later.
> > 
> > I thought I would just take the standard deviation of the whole 
> curve  
> > to the straight line.  This is easy.  But I think some of you 
have  
> > given this problem a lot of thought and I figured one of you may 
> have  
> > some additional insights into the best method for getting a 
> meaningful  
> > number for straightness/smoothness of the equity curve.  So here 
I 
> put  
> > the question to you now with an open mind, before I become set in 
> my  
> > ways ;-)
> > 
> > Best regards,
> > Dennis Brown
> >
>




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