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You write:
Almost any combination produces a good ranking of equity curves
(according to my eyeball), >although the values in the columns are of
course different.
Reading through your description leaves me confused as to what do with the
data generated from your code. After obtaining the Equity Curve values for
all funds in my database, I then cull through to include all with values
over, say, $16,000 over a two year period. I consider, perhaps
erroneously, any fund with so high an Equity Curve to be an excellent
candidate. I then use my "system" to choose among these the best one in
which to invest, given present conditions.
Are you intending to do basically the same thing, only using the UPI or
ANN/dd instead of the raw value of the Equity Curve, or is there another
use of these data which is escaping me?
Nate
At 04:50 PM 4/20/02 -0400, you wrote:
I have developed the formula segment shown below to evaluate the equity
curves produced for a system.
It seems to do a pretty good job of showing the smoothest equity curves -
ranking by either UPI or ANN/dd.
UPI is the Ulcer Performance Index and it shows the risk adjusted return (of
the equity curve in this case, not the stock). ANN/dd is simply the Annual
Return divided by the Maxdd, a more rough measure of risk adjusted return.
I would like to know people's reaction and experience with this (if you try
it).
I would also like to know your input about the length of Per2, the lookback
period overwhich the maxdrawdown is determined. I selected this somewhat
arbitrarily, and have no real idea of the "best" value to use. I have tried
this with Per = Per2 and with various shorter values for Per2 (with Per
always = 252). Almost any combination produces a good ranking of equity
curves (according to my eyeball), although the values in the columns are of
course different. I am, however, uncertain which increments of time should
be entered.
Any comments?
Thanks,
Ken
//Insert after all of your Buy and Sell rules
//Then Explore with n=1
Filter = 1;
Eq=Equity();
Per = 252;
Per2 = 40;
Cdd = (HHV(Eq,Per2) - Eq)/HHV(Eq,Per2);
MaxCdd = HHV(Cdd,252)*100;
R2 = (Sum(Cdd*Cdd,Per))/Per;
UI = 100*sqrt(R2);
Gain = Eq/Ref(Eq,-Per);
ANN = 100 * ((Gain^(252/Per)) - 1);
UPI = (ANN - 0.054)/UI;
AddColumn(MaxCdd,"MaxCdd",1.2);
AddColumn(ANN,"ANN",1.2);
AddColumn(UPI,"UPI",1.3);
AddColumn(ANN/MaxCdd,"ANN/dd",1.3);
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