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No, Kestner given two formulas in his books. First one was incorrect which was
pointed out to him by one reader. It was described in the past threads.
So he changed his mind.
Now, depending if you compound or not, you can use equity or log equity.
So you get 4 different methodologies. AB uses equity and 2nd formulation by Kestner.
>From what I know Fred is using first formulation and log equity.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, February 09, 2009 8:45 PM
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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