[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] What's a good k ratio, and thoughts on when k ratio clashes with MDD and Sharpe?


  • Date: Sun, 29 Nov 2009 06:33:51 -0000
  • From: "potatosoupz" <potatosoupz@xxxxxxxxx>
  • Subject: [amibroker] What's a good k ratio, and thoughts on when k ratio clashes with MDD and Sharpe?

PureBytes Links

Trading Reference Links

I don't see any good definitions for the metrics below. I am familiar of course with Sharpe, and Ulcer Index. I'm finding it a bit hard to reconcile the differences. How would you reconcile a backtest that has a max draw down % that is smaller than it's profit %, a low ulcer index, a high Sharpe, but a very low k ratio (< .05)? 

Ulcer Index in my mind is one of the best metrics outside of a much deeper quantitative treatment of things. Thoughts?

CAR/MDD ?
RAR/MDD ?
Payoff Ratio ?
Standard Error ?
RRR ?
Recovery Factor ?



------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

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:
    amibroker-digest@xxxxxxxxxxxxxxx 
    amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/