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PureBytes Links
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If you want a definitive answer then I suggest you look up Kestner's
original work
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Thomas Ludwig
Sent: Monday, February 09, 2009 2:45 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] K-ratio once more
Fred,
if I understand you correctly, your formula should match the AB one if I
replace LogEq with Eq (both in m and KRatio). Unfortunately, it doesn't.
Any other ideas?
BTW: I need the formula in order to compute K-ratio for the concatenated
IS and OOS equity curves and I would prefer the formula used by AB
(unless TJ will implement that in v. 5.21 anyway).
Greetings,
Thomas
> Mine was meant to be used with systems with constant reinvestment
> where one would expect constant percentage returns as opposed to
> constant dollar returns therefore the reason to employ it on the log
> of equity which in the above context would ideally be a straight
> line.
>
> ----- Original Message -----
> From: Thomas Ludwig
> Date: Monday, February 9, 2009 1:43 pm
> Subject: [amibroker] K-ratio once more
> To: amibroker@xxxxxxxxxxxxxxx
>
> > Hello,
> >
> > I know that the calculation of K-ratio (old and new formula) has
> > been
> > discussed here several times, e.g. in the thread starting here:
> > http://finance.groups.yahoo.com/group/amibroker/message/64408
> >
> > So please don't kill me - but I'm unable to find a formula that
> > matches
> > the K-ratio values in AB. Even Fred's formula from
> > PortfolioIO.afl
> > produces values completely different from the AB Backtester.
> >
> > So may I kindly ask if somebody has a formula that "works"?
> >
> > Thanks in advance.
> >
> > Thomas
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