[amibroker] Re: Custom Metric - How to calculate R-squared of equity curve?

["ramoncummins" <ramoncummins@xxxxxxxxxxx>]

Hi Howard, thanks for your reply.

However, the reason I want to use the custom backtester is so that the r-squared metric appears as a column in the system statistics when I analysis a portfolio of individual stocks (say the S&P 500 for example) - this would allow me to find the best equity curves quickly.

Any further input would be greatly appreciated!

Ramon


--- In amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> 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@xxx>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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