RRRR IS AN OPTIMIZATION METRIC DESCRIBED ON THE BOOK ( WAY OF TURTLE BY CURTIS M. FAITH) WHICH ONE I THINK IS BETTER THAN ALL METRICS IN AMIBROKER
RRRR= (RAR%) / (AVERAGE MAXIMUM DRAWDOWN PERCENT) *AVERAGE MAXIMUM DRAWDOWN LENGTH
AVERAGE MAXIMUM DRAWDOWN PERCENT = SUM OF LARGEST 5 DRAWDOWN PERCENTS DURING OPTIMIZATION /5;
AVERAGE MAXIMUM DRAWDOWN LENGTH = SUM OF LONGEST 5 DRAWDOWN DURING OPTIMIZATION /5;
CAN SOMEONE KINDLY WRITE A CUSTOM BACKTES/OPTIMIZATION METRIC THAT CAN BE USED IN AMIBROKER
__._,_.___
Posted by: handasa_mmam2@yahoo.com
| Reply via web post | • | Reply to sender | • | Reply to group | • | Start a New Topic | • | Messages in this topic (1) |
Save time and get your email on the go with the Yahoo Mail app
Get the beautifully designed, lighting fast, and easy-to-use Yahoo Mail today. Now you can access all your inboxes (Gmail, Outlook, AOL and more) in one place. Never delete an email again with 1000GB of free cloud storage.
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
.
__,_._,___
EmoticonEmoticon