Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 8/16/2005(UTC)
Posts: 182
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Hi,
Supposed I have the equity curve in a daily chart and has already identify the MaxDD, I would like to code the above.
Anyone has tried to code the above ratios.... Could you help me in coding them?
MAR Ratio= CAGR / MaxDD
Regards,
SA
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 11/18/2007(UTC)
Posts: 96
Location: HK
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I'm somewhat surprised that none of the MetaStock resident experts have been able to help you with your technical request - maybe they can't get past MetaStock's Power() function overflow limitation... Just to prove that it is not all that difficult, right now I'm looking at CAGR as well as MAR/Sharpe/Sortino ratios on the upcoming AQS-1 platform (see under "Institutional Stats" section of this chart).
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