Paolo, I believe that the file is a renamed copy of of Portfolio.afl as found in IO v3.0.2.zip, available from the Files section of this group posted by fctonetti.
Mike --- In [email protected], "Paolo Cavatore" <pcavat...@...> wrote: > > 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.Ludwig@> > 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 > > >
