Optimize Strategies using the K-Ratio
Posted: 17 May 2013
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.
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.