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--- In amibroker@xxxxxxxxxxxxxxx, "ramoncummins" <ramoncummins@xxx>
wrote:
>
> 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@ 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@xxxxx:
> >
> > >
> > >
> > > 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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