Mine was meant to be used with systems with constant reinvestment where one would expect constant percentage returns as opposed to constant dollar returns therefore the reason to employ it on the log of equity which in the above context would ideally be a straight line.
----- Original Message ----- From: Thomas Ludwig Date: Monday, February 9, 2009 1:43 pm Subject: [amibroker] K-ratio once more To: [email protected] > Hello, > > I know that the calculation of K-ratio (old and new formula) has > been > discussed here several times, e.g. in the thread starting here: > http://finance.groups.yahoo.com/group/amibroker/message/64408 > > So please don't kill me - but I'm unable to find a formula that > matches > the K-ratio values in AB. Even Fred's formula from > PortfolioIO.afl > produces values completely different from the AB Backtester. > > So may I kindly ask if somebody has a formula that "works"? > > Thanks in advance. > > Thomas >
