Mas Hengky,
Saya juga baru cek hasil backtest sistem, ternyata di bawah satu... tapi kalau ndak salah K-Ratio dan Sharpe Ratio lebih banyak digunakan dalam pemilihan reksadana ?
Mungkin rekan2 ada yg tau manfaat dan kegunaan kedua ratio ini tepatnya seperti apa ?
Thanks,
ES
On Sun, Jan 2, 2011 at 11:30 AM, Hengky B <hengkyb124@yahoo.co.id> wrote:
mas Eco,
trims atas copy reading backtest reportnya, saya tertarik dgn K-Ratio yg mencerminkan konsistensi return dan angkanya harus 1 atau > 1. BT yg saya lampirkan K-Ratio masih < 0.5.
K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent return you may expect from the system. Linear regression slope of equity line multiplied by square root of sum of squared deviations of bar number divided by standard error of equity line multiplied by square root of number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner
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