[amibroker] Re: K-ratio once more

["Paolo Cavatore" <pcavatore@xxxxxxxxx>]

Sorry, I cannot find any information about this PortfolioIO.afl 
formula...is it supposed to be available anywhere?

regards,

paolo

--- In amibroker@xxxxxxxxxxxxxxx, Thomas Ludwig <Thomas.Ludwig@xxx> 
wrote:
>
> Okay, I found what I was searching for. There is a post in which TJ 
> wrote:
> 
> >K-Ratio (AMI) is
> 
> >LinRegSlope * Sqrt( SumOfSquaredDeviationsOfBarNumber ) / (StdErr 
* n);
> 
> So I modified the formula in PortfolioIO.afl to:
> 
> KRatio   = ValueWhen(BIR > 0, m * SRDevSQ / (ErrEq * NoBars));
> 
> ... and that matches the figure in the backtester.
> 
> Thanks to both of you!
> 
> Greetings,
> 
> Thomas
>




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