I don’t know if this topic is existing somewhere because I’m new on forum and I don’t speak English very well but I have a question about adding metrics to backtesting or optimization results. I know there is guide about AFL but I can’t understand how to add metrics with RAR% (Regression Annual Return), RRRR ( Robust Risk/Reward Ratio ) and R-Sharpe; is there someone who can code these metrics for me or where can I find exactly these codes?
I know about this user guide and I read it but I really do not understand how to code these metrics
@kubadrozdz You appear to have been reading Curtis Faith’s 2007 book. He was enamored with those metrics. But if you look at construction (formulas) of those you have listed and all of the currently available metrics already included in Ami, then you will see that there is a great deal of overlap.
Look over the Ulcer Index and Ulcer Performance Index and compare it to RRRR and you will see that Faith probably copied the principles of his ideas from the guys who came up with the U. I. in 1989.
Compare RAR% to the Kestner ratio.
When you want to evaluate a trading system you should look at several measures of performance and risk, and there are many of those already available in Ami.
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Thank You very much! You have helped me a lot, but I have a little one more question, where on the Internet can I find describes to the metrics like Ulcer, etc.?
@quantboy Thank You very much! You have helped me a lot, but I have a little one more question, where on the Internet can I find describes to the metrics like Ulcer, etc.?
@kubadrozdz and @quantboy A few simple web site descriptions.
From one of the original authors of the Ulcer index
http://www.tangotools.com/ui/ui.htm
Ulcer Index
https://blog.thinknewfound.com/2014/04/looking-into-the-ulcer-index/
AmiBroker user guide
https://www.amibroker.com/guide/h_report.html
K Ratio