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Herman: more creative coding on your part.....I think it is great.
I personally find that the "smoothness" of the total equity line is the best
measure of the robustness of a system, along with the magnitude of the
increase in equity. Determining the Ann return, the Ulcer Index and/or the
ANN/Maxdd provides me with all the ratings I need.
Distribution of the final equity of each stock used by a system, while very
creative coding-wise, seems like it leaves off a key piece of
information--drawdown. However, that may just be my proclivity because I am
so darned adverse to drawdowns.
Just my point of view (POV).
Ken
-----Original Message-----
From: Herman van den Bergen [mailto:psytek@x...]
Sent: Tuesday, April 30, 2002 10:50 AM
To: AmiBroker
Subject: [amibroker] A different type of Equity analysis
A while back there was talk about rating trading systems. I have always been
of the opinion that if a system works on many stocks this is a measure of
robustness. Not everybody agrees with this and I agree that greater profits
can be made by optimizing systems for particular stocks however I believe
that this extra gain is paid for with extra risk.
While discussions centered around the analysis of composite equities I don't
recall anybody talking about analyzing the equity distribution for
individual stocks for a certain category. As a first step in doing this you
can save the individual equities in a composite array for later recall and
analysis. Or to display a bar chart of the individual equities (See attached
example ran on the N100 stocks). You can use this Scan to save the
"individual" equities in a composite:
// =======Scan to save Equities in array===========
//
// place your Buy/Sell rules here...
//
V1 = LastValue(Equity());
Addr = LastValue(Cum(1))-Status("StockNum");
V2 = IIf(Addr == Cum(1),V1,0);
AddToComposite(V2,"_Equity","X",3);
To display a barchart for this data use this indicator:
// =====Indicator to display Equities============
Plot(Foreign("_Equity","Open"),"",4,2+4);
Title = " Equity Bar Chart for N100 stocks ";
GraphXSpace = 5;
Note that this chart is located at the most recent part of the X-axis. Since
it covers only 100 bars (for the N100) you may have to zoom in to see the
chart. Also note that equities are displayed in order of their StockNum;
StockNum "1" is in the most recent bar.
Perhaps somebody with stats expertise can suggest a way to calculate the
Mean, StDev, etc. for the equities. This could be used as a measure of
robustness.
Best regards,
Herman.
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