Hi Brian, I cannot find your K-ratio file anymore...have you removed it?
paolo --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Gerry, > > > Is it possible that there was a typo in the K-ratio correction? > > Perhaps Mr Kestner has made another change? > > I don't have his books or articles, i just gave up on the k-ratio > > because i didn't think it was telling me anything useful. > > > > I would be interested if you or anyone else have run some examples > > where K-ratio is high and exposure is high, and what are the other > > backtest numbers. > > I have the latest version of his book and what you have posted is > correct. > > I have uploaded a k-ratio.xls spreadsheet to the file section of this > forum (there is an old version there under my old name - brian.z123 - > not that one - the new one by brian_z111 > > It is a dymamic file with a 20 datapoint example. > > Instructions are included but it is self-explanatory anyway. > > It should help sort it out a bit. > > brian_z > > > --- In [email protected], "gerryjoz" <geraldj@> wrote: > > > > Grant, > > in your post you asked me to elaborate on why i thought the K-ratio > > was a waste of space and RRR was simpler/better. What i have found > is > > that k-ratio is generally lower the higher the exposure for the same > > or similar trading systems in back test. If you want a high k-ratio, > > according to the AB calc, don't buy or sell! > > Here is a contrived (curve-fit) example (run on real data) over a > few > > years > > CAR 33% > > Profit factor 7 > > CAR/MDD 2.8 > > Max Sys DD % 11.5% > > RRR 2.15 > > K-ratio .096 > > exposure 49% > > #trades 170 > > > > the K-ratio definitio in AB help is > > " > > K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. > The > > higher K ratio is the more consistent return you may expect from > the > > system. Linear regression slope of equity line multiplied by square > > root of sum of squared deviations of bar number divided by standard > > error of equity line multiplied by square root of number of bars. > More > > information: Stocks & Commodities V14:3 (115-118): Measuring System > > Performance by Lars N. Kestner > > " > > personally i prefer measures which are more easily comprehended. > This > > one isn't, even tho 40 years ago i did do maths & stats at uni. > > In any case, back in May 2004 Tomasz changed the calc... > > ======> > > > > K-ratio calculation changed. following the change made by its > creator, > > Mr. Lars Kestner. > > > > Quoting from the book "Quantitative Trading Strategies" from 2003 by > > Lars Kestner: > > > > [ - - - ] > > " The K-ratio is a unitless measure of performance that can be > > compared across markets and time periods. [ - - - ] Traders should > > search for strategies yielding K-ratios greater than +0.50. > Together, > > the Sharpe ratio and K-ratio are the most important > > measures when evaluating trading strategy performance. Note: When I > > created the K-ratio in 1996, I thought I had created a > > robust measure to evaluate performance. In mid-2000, trader Bob > Fuchs > > brought a small error to my attention regarding the > > scaling of the K-ratio. He was correct in his critique and I have > > corrected the error in this text. Publications prior to 2002 will > > show a different formula for the K-ratio. The updated formula in > this > > book is correct." > > > > Mr Lars Kestner has corrected his formula based on this critique: > > K-ratio = slope / ( sterr * per ) > > > > slope: Linear regression slope of equity line > > sterr: Standard error of slope > > per: Number of periods in the performance test > > > > Special thanks to Jeremy Berkovits who brought that to my attention. > > > > <====== > > There was quite a bit of discussion at the time. > > I understand RRR intuitively, and when i look at the other ratios i > > can see why one is higher or lower (with a bit of checking). > > > > Is it possible that there was a typo in the K-ratio correction? > > Perhaps Mr Kestner has made another change? > > I don't have his books or articles, i just gave up on the k-ratio > > because i didn't think it was telling me anything useful. > > > > I would be interested if you or anyone else have run some examples > > where K-ratio is high and exposure is high, and what are the other > > backtest numbers. > > > > regards > > Gerry > > >
