[R-SIG-Finance] Evaluating equity curves

[R. Vince]

Do NOT bother with this, Aleks, until you first read about the First and 
particularly Second Arc Sine Laws and how they might pertain to equity 
curves. (To avoid fitting splinies or anything else to unicorn 
costumes) -Ralph Vince
----- Original Message ----- 
From: "Aleks Clark" <aleks.clark at gmail.com>
To: <r-sig-finance at stat.math.ethz.ch>
Sent: Sunday, October 11, 2009 6:47 PM
Subject: [R-SIG-Finance] Evaluating equity curves


> 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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