Fred, if I understand you correctly, your formula should match the AB one if I replace LogEq with Eq (both in m and KRatio). Unfortunately, it doesn't.
Any other ideas? BTW: I need the formula in order to compute K-ratio for the concatenated IS and OOS equity curves and I would prefer the formula used by AB (unless TJ will implement that in v. 5.21 anyway). Greetings, Thomas > 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 ------------------------------------ **** IMPORTANT **** This group is for the discussion between users only. This is *NOT* technical support channel. ********************* TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com ********************* For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ For other support material please check also: http://www.amibroker.com/support.html ********************************* Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[email protected] mailto:[email protected] <*> To unsubscribe from this group, send an email to: [email protected] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
