New Strategy Ratio (K-Ratio)

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danilo
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New Strategy Ratio (K-Ratio)

Postby danilo » 31 Mar 2008

Would be very nice to add a strategy ratio that evaluate the stability of a equity curve (ie growth regularly). This kind of ratio has been indicated by Lars Kestner in the book "Quantitative Trading Strategies". Could be very useful to add this metric also in the "Strategy optimization report". I have attached the formula for K-Ratio computation.
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K-Ratio.pdf
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Marina Pashkova
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Postby Marina Pashkova » 01 Apr 2008

Thank you Danilo,

This is a ver good suggestion. We will certainly implement this feature in future.

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danilo
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Postby danilo » 16 Nov 2008

Dear Marina,

Do you have any ETA for the implementation ? could be very useful to have this metric available also in the "Optimization Report" since my favorite equity curve is the one with greater K-Ratio value.

I have posted an equity simulator with the K-ratio calculations.

Regards,
Danilo
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EquityCurve_simulator (K-Ratio).zip
equity simulator with the K-ratio calculations
(63.11 KiB) Downloaded 57 times

Tresor
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Postby Tresor » 16 Nov 2008

Hi Danilo,

you might look at this for further inspiration:

http://forum.tssupport.com/download.php?id=1580

Regards


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