I made two posts on this subject a couple of weeks ago, but it seems
those posts have disappeared.
Anyway. I am now able to duplicate the AmiBroker 4.96 beta CBT results
for K-Ratio. My implmentation follows and appears to match the
AmiBroker results for backtest periods lasting from 2 months to 17+
years.
Eq = Foreign("~~~EQUITY", "C"); // Assign Close of Backtest Equity = Eq
n = Barcount -1; // Number of periods
// K-Ratio - only valid for non-compounding systems
EqLRS = LinRegSlope(Eq, n+1); // Linear Reg Slope of entire (n+1) range
EqSE = StdErr(Eq, n+1);// Std Err of entire (n+1) range
EqKR = EqLRS/EqSE; // K-Ratio (unitless measure)
EqKRAmi = EqKR*sqrt(n+1)/sqrt(12);// AmiBroker 4.96 implementation
My question is: Why does it require a divide by sqrt(12) to work?
