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Not sure if this is what you are after, but this one of my current projects.
1. define variable PassNum - normally set to 1
2. using CBT, define/create system specific equity curve
3. run backtest
4. set PassNum = 2
5. using PassNum & Foreign, apply an indicator to the equity curve and use this as en entry filter. As a simple approach I have been playing with ROC.
6. run backtest
It is a bit klunky, but it works.
Graham
--- In amibroker@xxxxxxxxxxxxxxx, DIANE TONETTI <ftonetti@xxx> wrote:
>
>
>
> 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 <mailto:amibroker@xxxxxxxxxxxxxxx> ,
> "woodshedder_ blogspot" <woodshedder_ blogspot@ ...> wrote:
> >
> > Droskill,
> > What about R squared?
> > --- In amibroker@xxxxxxxxx ps.com <mailto:amibroker@xxxxxxxxxxxxxxx> ,
> > "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!
> >
>
> <mailto:amibroker@xxxxxxxxxxxxxxx>
>
> <http://groups.yahoo.com/start;_ylc=X3oDMTJvNm8wcWYyBF9TAzk3MzU5NzE0BF9wAzMEZ3JwSWQDMTAxMDY5MgRncnBzcElkAzE3MDU2MzIxOTgEc2VjA25jbW9kBHNsawNncm91cHMyBHN0aW1lAzEyNTU1MjM4MDQ->
>
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