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I asked the same question recently, custom backtester code for r-squared of the equity curve can be found here:
http://finance.dir.groups.yahoo.com/group/amibroker/message/141718
cheers
Ramon
--- In amibroker@xxxxxxxxxxxxxxx, "grahamj42" <graham.johnson@xxx> wrote:
>
> 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@> 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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