Hi Ramon -- You do not need custom backtester to get the statistic you want. Try this code:
/////////////////////// // EquityRsqr.afl // Buy = Month() != Ref( Month(), -1 ); Sell = BarsSince( Buy ) >= 10; Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy ); e = Equity(); Refline = Cum( 1 ); rsquared = Correlation( e, Refline, 21 ) ^ 2; Plot( C, "C", colorBlack, styleCandle ); shape = Buy * shapeUpArrow + Sell * shapeDownArrow; shapecolor = IIf( Buy, colorGreen, colorRed ); PlotShapes( shape, shapecolor ); Plot( e, "e", colorGreen, styleLine | styleLeftAxisScale ); Plot( Refline, "refline", colorBlue, styleLine | styleOwnScale ); Plot( rsquared, "rSqr", colorRed, styleLine | styleOwnScale ); ///////////////////// Thanks, Howard On Mon, Aug 31, 2009 at 3:12 PM, ramoncummins <[email protected]>wrote: > > > Hi there > > I am trying to calculate the r-squared value of my equity curve using the > custom backtester (this is a measure of goodness of 'fit' - basically so I > can test for a nice smooth equity curve). > > The generic r-squared formula is : > > r-squared = Correlation(array1, array2, periods) ^ 2 > > However I don't know what arrays to pass this equation. One of the arrays > will need to be the equity curve and the other just a counter type array - > like barindex(). Any help very much appreciated, my experience using the > custom backtester is very limited! > > cheers > > Ramon > > > >
