If you want a definitive answer then I suggest you look up Kestner's original work
-----Original Message----- From: [email protected] [mailto:[email protected]] On Behalf Of Thomas Ludwig Sent: Monday, February 09, 2009 2:45 PM To: [email protected] Subject: Re: [amibroker] K-ratio once more 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 -- I am using the free version of SPAMfighter. We are a community of 5.9 million users fighting spam. SPAMfighter has removed 645 of my spam emails to date. Get the free SPAMfighter here: http://www.spamfighter.com/len The Professional version does not have this message
