Hello all,
Has anyone seen an implementation of the K-Ratio in NinjaTrader. For those who aren't familiar with this ratio, it's a measure that helps assess the smoothness of the equity curve. It was mentioned in the book Quantitative Trading Strategies by Kestner on page 85.
The calculation of this ratio is simple, but I don't know enough about C# to implement it myself. All you have to do is regress the equity curve (Equity Curve = b0 + b1*trend). The ratio is as follows: K = b1 / (SE(b1)*Nobs) where b1 is the slope of the regression, SE(b1) is the standard error of b1 and Nobs is the number of observations.
This ratio should help identify nice smooth equity curves. Should be useful for everyone :-)
Please let me know if you have seen this performance measure on the forums or if you can program it yourself. It would be a great addition to the optimizer.
Cheers,
Phil
Has anyone seen an implementation of the K-Ratio in NinjaTrader. For those who aren't familiar with this ratio, it's a measure that helps assess the smoothness of the equity curve. It was mentioned in the book Quantitative Trading Strategies by Kestner on page 85.
The calculation of this ratio is simple, but I don't know enough about C# to implement it myself. All you have to do is regress the equity curve (Equity Curve = b0 + b1*trend). The ratio is as follows: K = b1 / (SE(b1)*Nobs) where b1 is the slope of the regression, SE(b1) is the standard error of b1 and Nobs is the number of observations.
This ratio should help identify nice smooth equity curves. Should be useful for everyone :-)
Please let me know if you have seen this performance measure on the forums or if you can program it yourself. It would be a great addition to the optimizer.
Cheers,
Phil
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