Hi Howard, thanks for your reply. However, the reason I want to use the custom backtester is so that the r-squared metric appears as a column in the system statistics when I analysis a portfolio of individual stocks (say the S&P 500 for example) - this would allow me to find the best equity curves quickly.
Any further input would be greatly appreciated! Ramon --- In [email protected], Howard B <howardba...@...> wrote: > > 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 <ramoncumm...@...>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 > > > > > > > > >
