|
Rick - I've got a draft routine that calculates the
MPT metrics for a watchlist and I'd like to know how it compares with
FastTools. Do you have a copy of FastTools and are you interested in
testing this routine to see how close or how far
the results are from FTools?
As you probably know many params vary
from author to author like the window used to calculate the standard deviation
and the correlation - is it 252 bars for 1 year or 128? Or
the risk free money rate, is it 5.4% (man I wish I could get that now a
days) like Brian used or is it FDRXX at 2.2%. Or is UI
& UPI represented as a percentage?
So aside from these kind of quirks I think I've
managed to plagarize the formulas relatively accurately and I've done some reasonabless checks to see that it
works.
Write me and I'll ship it to you directly for some
testing if you're interested in checking it out. You can clip the
formula right out from there.
Tell me some more about MOM.
Best regards
JOE
----- Original Message -----
Sent: Tuesday, March 15, 2005 8:04
AM
Subject: [amibroker] Ulcer Index
formula
I have searched the archives but
cannot find the Ulcer Index
formula. How can I calculate the Ulcer
Index and Ulcer Performance
Index in
AFL?
Thanks,
Rick
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
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