[R-SIG-Finance] Evaluating equity curves

Aleks Clark aleks.clark at gmail.com
Mon Oct 12 00:47:22 CEST 2009


As part of a project I'm working on that uses genetic algorithms to
optimize trading parameters, I find myself seeking a way to evaluate
the equity curve that results from a given set of trading rules. It
seems to be an obvious area of research, so I was wondering what's
available in R-land or just in the world of finance in general. I've
poked around with splines as a way to express how 'nice' an equity
curve is (steady upward rise as opposed to a "jagged" line), but I
feel that there are probably better ways to do things...


Thanks,


-- 
Aleks Clark



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