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Hi Ramon --
You do not need custom backtester to get the statistic you want. Try this code:
///////////////////////
// EquityRsqr.afl
//
Buy = Month() != Ref( Month(), -1 );
Sell = BarsSince( Buy ) >= 10;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
e = Equity();
Refline = Cum( 1 );
rsquared = Correlation( e, Refline, 21 ) ^ 2;
Plot( C, "C", colorBlack, styleCandle );
shape = Buy * shapeUpArrow + Sell * shapeDownArrow;
shapecolor = IIf( Buy, colorGreen, colorRed );
PlotShapes( shape, shapecolor );
Plot( e, "e", colorGreen, styleLine | styleLeftAxisScale );
Plot( Refline, "refline", colorBlue, styleLine | styleOwnScale );
Plot( rsquared, "rSqr", colorRed, styleLine | styleOwnScale );
/////////////////////
Thanks,
Howard
On Mon, Aug 31, 2009 at 3:12 PM, ramoncummins <ramoncummins@xxxxxxxxxxx> wrote:
Hi there
I am trying to calculate the r-squared value of my equity curve using the custom backtester (this is a measure of goodness of 'fit' - basically so I can test for a nice smooth equity curve).
The generic r-squared formula is :
r-squared = Correlation(array1, array2, periods) ^ 2
However I don't know what arrays to pass this equation. One of the arrays will need to be the equity curve and the other just a counter type array - like barindex(). Any help very much appreciated, my experience using the custom backtester is very limited!
cheers
Ramon
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