RE: [amibroker] Re: Optimization targeting equity curve smoothness?

[DIANE TONETTI <ftonetti@xxxxxxxxxxxxx>]

 

KRatio is measurment of the smoothness of the Equity curve which works fine for systems that dont compound ...

For systems that do you could calculate your own KRatio based on the log of equity

On Wed, Oct 14, 2009 at 8:36 AM, droskill wrote:

   I agree it would be an interesting choice - only issue is that, as far as I can see, the backtester does not allow that kind of targeting.

--- In amibroker@xxxxxxxxx ps.com, "woodshedder_ blogspot" <woodshedder_ blogspot@ ...> wrote:

>

> Droskill,

>

> What about R squared?

>

> --- In amibroker@xxxxxxxxx ps.com, "droskill" <droskill@> wrote:

> >

> > Hey all -

> >

> > One of the things I would love to optimize around is equity curve smoothness - but I don't see any parameter that really matches with that.  Drawdown is an obvious one as a smooth equity curve generally doesn't have huge drawdowns - but I'm wondering if people have other ideas.

> >

> > Thanks in advance!

> >

>

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