KRatio is measurment of the smoothness of the Equity curve which works
fine for systems that dont compound ...
For systems that do you could calculate your own KRatio based on the log
of equity
On Wed, Oct 14, 2009 at 8:36 AM, droskill wrote:
I agree it would be an interesting choice - only issue is that, as
far as I can see, the backtester does not allow that kind of targeting.
--- In amibro...@yahoogrou ps.com <mailto:[email protected]> ,
"woodshedder_ blogspot" <woodshedder_ blogspot@ ...> wrote:
Droskill,
What about R squared?
--- In amibro...@yahoogrou ps.com <mailto:[email protected]> ,
"droskill" <droskill@> wrote:
Hey all -
One of the things I would love to optimize around is equity curve
smoothness - but I don't see any parameter that really matches with
that. Drawdown is an obvious one as a smooth equity curve generally
doesn't have huge drawdowns - but I'm wondering if people have other
ideas.
Thanks in advance!
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