Registered User Joined: 11/19/2015 Posts: 459
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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"
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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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 Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 11/19/2015 Posts: 459
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Ok, thank you.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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You're welcome.
-Bruce Personal Criteria Formulas TC2000 Support Articles
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