Metric for estimation smoothness Equity

[axweye]

Dear collegs,
could you recommend with what metric estimate smoothness equity in backtest?

Best regards,
Alexander

[portfoliobuilder]

@axweye you might consider something like the K-Ratio discussed here,

K-ratio by Lars Kestner : which value desirable

Hi All, after some years of testing with some Trading systems made by me, the best Value for K-RATIO i get is 0.12 with backtesting from 2000 to 2017 on 100 stocks. Wich number are desiderable, wich number you get in your experience ? regards luca

Or maybe take an R-Squared (coefficient of determination) of your Equity curve.

[axweye]

Thx a lot!
I've found one more interesting article

R-squared as an estimation of quality of the strategy balance curve

[quantboy]

@axweye a couple of sample afl codes for doing that.

R2 as custom metric

Per-backtest metric must be a scalar. You are passing array instead of scalar. You need to use LastValue as shown below. SetCustomBacktestProc(""); if( Status("action") == actionPortfolio ) { bo = GetBacktesterObject(); bo.Backtest(); // run default backtest procedure st = bo.GetPerformanceStats(0); // get stats for all trades eq = bo.EquityArray; r2 = Correlation(BarIndex(), eq, BarCount - 1 ) ^ 2; // Here we add custom metric to backtest report bo.AddCustomMetr…

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