Louis, See message #122637 where it is mentioned that the formula has since changed. According to that post, the creator suggests a measure of 0.5 or better. Others within this forum have advocated that a value of 0.15 or more is pretty good.
Mike --- In [email protected], "louisprefontaine" <[EMAIL PROTECTED]> wrote: > > Hi, > > For k-ratio, I see this: "K-Ratio - Detects inconsistency in returns. > Should be 1.0 or more. The higher K ratio is the more consistent > return you may expect from the system. Linear regression slope of > equity line multiplied by square root of sum of squared deviations of > bar number divided by standard error of equity line multiplied by > square root of number of bars. More information: Stocks & Commodities > V14:3 (115-118): Measuring System Performance by Lars N. Kestner" > > "Should be 1.0 or more". > > Would anyone here consider as garbage some system with consistent > results over 100% Net profit/annum in many variations simply because > the k-ratio is.. let's say 0.2? > > I'm struggling with this because everything else is good: RAR is good > RRR is good... The drawdowns are importants, but far more profit than > drawdowns... So would you consider k-ratio should REALLY be more than 1.0? > > Thanks, > > Louis > > --- In [email protected], "gmorlosky" <gmorlosky@> wrote: > > > > Info is located here: > > http://www.amibroker.com/guide/w_report.html > > > > --- In [email protected], "gmorlosky" <gmorlosky@> wrote: > > > > > > Where can I find a list of the limits and thresholds of common > > terms > > > used in Backtest ? Simply, for the following items, how do I know > > what > > > is an acceptable value for any of these: > > > > > > Recovery Factor > > > CAR/MaxDD > > > RAR/MaxDD > > > Profit Factor > > > Payoff Ratio > > > Standard Error0 > > > Risk-Reward Ratio > > > Ulcer Index > > > Ulcer Performance Index > > > Sharpe Ratio of trades > > > K-Ratio > > > > > >
