Sorry, I cannot find any information about this PortfolioIO.afl formula...is it supposed to be available anywhere?
regards, paolo --- In [email protected], Thomas Ludwig <thomas.lud...@...> wrote: > > Okay, I found what I was searching for. There is a post in which TJ > wrote: > > >K-Ratio (AMI) is > > >LinRegSlope * Sqrt( SumOfSquaredDeviationsOfBarNumber ) / (StdErr * n); > > So I modified the formula in PortfolioIO.afl to: > > KRatio = ValueWhen(BIR > 0, m * SRDevSQ / (ErrEq * NoBars)); > > ... and that matches the figure in the backtester. > > Thanks to both of you! > > Greetings, > > Thomas >
