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Louis,
See message #122637 where it is mentioned that the formula has since
changed. According to that post, the creator suggests a measure of
0.5 or better. Others within this forum have advocated that a value
of 0.15 or more is pretty good.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "louisprefontaine" <rockprog80@xxx>
wrote:
>
> Hi,
>
> For k-ratio, I see this: "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"
>
> "Should be 1.0 or more".
>
> Would anyone here consider as garbage some system with consistent
> results over 100% Net profit/annum in many variations simply because
> the k-ratio is.. let's say 0.2?
>
> I'm struggling with this because everything else is good: RAR is
good
> RRR is good... The drawdowns are importants, but far more profit
than
> drawdowns... So would you consider k-ratio should REALLY be more
than 1.0?
>
> Thanks,
>
> Louis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "gmorlosky" <gmorlosky@> wrote:
> >
> > Info is located here:
> > http://www.amibroker.com/guide/w_report.html
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "gmorlosky" <gmorlosky@> wrote:
> > >
> > > Where can I find a list of the limits and thresholds of common
> > terms
> > > used in Backtest ? Simply, for the following items, how do I
know
> > what
> > > is an acceptable value for any of these:
> > >
> > > Recovery Factor
> > > CAR/MaxDD
> > > RAR/MaxDD
> > > Profit Factor
> > > Payoff Ratio
> > > Standard Error0
> > > Risk-Reward Ratio
> > > Ulcer Index
> > > Ulcer Performance Index
> > > Sharpe Ratio of trades
> > > K-Ratio
> > >
> >
>
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