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0002ct
Posted : Tuesday, January 8, 2019 3:02:19 PM
Registered User
Joined: 11/19/2015
Posts: 459

Hello.

Is it possible to do something like a Lake Ratio? An adequate description for a version of this ratio comes from another place.
 

"Take daily equity values E(i) and calculate the data series P(i), the "peaks", defined as
 
P(i) = MAX(E(n)) for n=1 to n=i
 
Then calcuate two numbers, WATER and EARTH:
WATER = SUM( P(j) - E(j) ) for j=1 to ndays
EARTH = SUM( E(k) ) for k=1 to ndays
 
Lake Ratio = WATER/EARTH
 
The Lake Ratio includes all drawdowns in its construction, not just the maximum drawdown. If system A has one 30% drawdown and lots of 10% dd's, while system B has one 20% drawdown and lots of 15% dd's, Lake Ratio will prefer A but MAR will prefer B.
 
Technical note: the definition for P(i) above represents an Order-Nsquared algorithm. But a moment's thought will reveal a simple way to program it as Order-N"

 


 

Bruce_L
Posted : Tuesday, January 8, 2019 4:20:27 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

No, I cannot think of way to make a formula for this which is short and fast enough to be practical or post in the forums for TC2000.



-Bruce
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0002ct
Posted : Tuesday, January 8, 2019 9:11:14 PM
Registered User
Joined: 11/19/2015
Posts: 459

Ok, thank you.

Bruce_L
Posted : Wednesday, January 9, 2019 6:37:20 AM


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Joined: 10/7/2004
Posts: 65,138

You're welcome.



-Bruce
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