New Strategy Ratio (K-Ratio)
New Strategy Ratio (K-Ratio)
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.
- Attachments
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- K-Ratio.pdf
- (493.23 KiB) Downloaded 175 times
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
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
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
- Attachments
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- EquityCurve_simulator (K-Ratio).zip
- equity simulator with the K-ratio calculations
- (63.11 KiB) Downloaded 129 times