Hello Louis - The clip I've attached is "way above my pay grade" of understanding, but it sounds like you would like to fit a regression line, get the slope of that line and measure the dispersion about the linear reg(least squares) line.
Here's a chance that the K-Ratio might do what you want, and what Lars Kestner says about it. (The K-ratio can be calculated from a daily, weekly or monthly equity curve.) The numerator of the K-ratio is the b1 coefficient estimate in the equity model. The b1 estimate is the ratio's proxy for return and is calculated by running an ordinary least-squares regression on the equity model. The value of bi is also the slope of the least-squares trendline from the equity curve. The higher the values of b1, the sharper the rise in the equity curve is and the faster the system makes money. Risk of the trading system is measured by the standard error of b1, again calculated from linear regression techniques. The standard error of b1 measures the efficiency of the equity model. Higher standard errors indicate inconsistent performance; the model did not explain daily equity values successfully. Lower standard errors indicate stability in returns. Finally, the standard error of b1 is multiplied by the square root of the number of observations in the equity curve. This normalizes the K-ratio to be comparable across time frames (one year, five years, 10 years) and periodicity of data (daily, weekly, monthly). Those more familiar with statistics will recognize the K-ratio as the t -statistic of b1 with a correction factor for the number of observations. Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner >From reading bits and pieces of the notes, it doesn't sound like you want to >apply it to the equity curve but I think it would give and indication of what >the price curve was doing. Hope this helps Joe ----- Original Message ----- From: Louis P. To: [email protected] Sent: Friday, September 05, 2008 10:50 AM Subject: Re: [amibroker] How to calculate a slope % with Rsquared without a loop? Hi again (sorry for all the messages), I forgot something. I don't only want to get the % of a slope, but rather how smooth it is. I want a smooth slope from a high point. Do you know how to do this? Thanks, Louis 2008/9/4 Ara Kaloustian <[EMAIL PROTECTED]> Try this: HHV(Var,period); // find value of highest high HHVBars(Var,period); // Find number of bars - distance from HHV to current bar %slope = ((Highest high - currentclose) / Highest high) / number of bars * 100; You may choose to define slope in a different way, but this is the basic structure A ----- Original Message ----- From: Louis P. To: [email protected] Sent: Thursday, September 04, 2008 9:34 AM Subject: Re: [amibroker] How to calculate a slope % with Rsquared without a loop? Hi, Thanks for your response. I should have said I want to calculate a slope from a high point; I'd like to get a smooth slope from a HHV... How would you do that? Thanks a lot! Louis 2008/9/4 Ara Kaloustian <[EMAIL PROTECTED]> %slope = (variable - Ref(Variable,-x) ) / Ref(Variable,-x) * 100; ----- Original Message ----- From: Louis P. To: [email protected] Sent: Thursday, September 04, 2008 9:20 AM Subject: [amibroker] How to calculate a slope % with Rsquared without a loop? Hi, I was wondering how to calculate the % of a slope without doing any loop. Anybody has any idea? Thanks, Louis
