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Nate: my intent was to look only at the UPI or ANN/dd parameters. I sort
these and page down looking visually at the curve. I actually do a visual
check of the end value of the equity curve and have been ignoring one which
have an arbitrarily low value as well as few trades (lots of flat horizontal
lines). However, I think I will add some other parameter to the filter and
look at fewer charts. I am depending on my system to generally give
positive gain equity curves. Of course, it does not do so all the time :-))
I am not sure how big your database is. I use TC2000 linkage and thus have
access to 7500 stocks. I first sort in TC2000 (because I only have to do it
every now and then rather than each time) and export symbols meeting some
basic criteria---like min price and avg 50d vol and a few others). Then I
apply my system and this ranking to those lists in AB.
I hope this helps.
Ken
-----Original Message-----
From: Dr. S. Nathan Berger [mailto:snberger@x...]
Sent: Sunday, April 21, 2002 8:48 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Evaluating Your Equity Curve
Good morning, Ken
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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>
>
>
>
>
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