Not sure if this is what you are after, but this one of my current projects.
1. define variable PassNum - normally set to 1 2. using CBT, define/create system specific equity curve 3. run backtest 4. set PassNum = 2 5. using PassNum & Foreign, apply an indicator to the equity curve and use this as en entry filter. As a simple approach I have been playing with ROC. 6. run backtest It is a bit klunky, but it works. Graham --- In [email protected], DIANE TONETTI <ftone...@...> wrote: > > > > 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! > > > > <mailto:[email protected]> > > <http://groups.yahoo.com/start;_ylc=X3oDMTJvNm8wcWYyBF9TAzk3MzU5NzE0BF9wAzMEZ3JwSWQDMTAxMDY5MgRncnBzcElkAzE3MDU2MzIxOTgEc2VjA25jbW9kBHNsawNncm91cHMyBHN0aW1lAzEyNTU1MjM4MDQ-> >
