The K-Ratio was developed and revised several times by Lars Kestner. I believe most will find it a useful tool for the optimization process as well as to compare strategies.
The pla file contains the K-Ratio function and the !Optimize by K-Ratio! signal. The function contains a brief description for its use.
I have also attached the PDF file on the K-Ratio that Lars recently published.
For anyone who is interested, I can share an excel spreadsheet that Lars designed to show the relationship between the K-Ratio and Sharpe Ratio. PM me with your email address since I cannot upload an xlsx file extension onto the forum.
Optimize Strategies using the K-Ratio
Optimize Strategies using the K-Ratio
- Attachments
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- Optimize by K-Ratio.pla
- K-Ratio MC Files
- (10.73 KiB) Downloaded 657 times
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- KRatio 2013.pdf
- (Re)Introducing the K-Ratio
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