I asked the same question recently, custom backtester code for r-squared of the equity curve can be found here:
http://finance.dir.groups.yahoo.com/group/amibroker/message/141718 cheers Ramon --- In [email protected], "grahamj42" <graham.john...@...> wrote: > > 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 <ftonetti@> 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-> > > >
