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AB rocks!
After using
AB for only a month, I have developed a system that produces 50%
risk-adjusted-returns trading the S&P500 over the last 50 years.
It is a short-term trading system with an average trade lasting 4
days.
<SPAN
class=437573315-17102002>
But thereis some
spikiness in the equity curve. I am having some difficulty tuning the system to
produce steady monthly cash flow. The goal is not to maximize profits over 50
years, but to produce consistent profitable results.
<SPAN
class=437573315-17102002>
One problem is how
to measure the system performance so it can be properly tuned. I do not know
many important statistics of the system. For example, has the system ever had a
losing year? What is the worst-case number of consecutive losing months?
I don't
think minimizing drawdown is sufficient to meet my goals.
<SPAN
class=437573315-17102002>
The approach I have
been using is an iterative process of eye-balling the equity curve,
changing parameters, and trying again. There must be a better way. Is therea
reasonable way to automate this task?
<SPAN
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How are other AB
users optimizing their equity curve?
<SPAN
class=437573315-17102002>Cheers,
<SPAN
class=437573315-17102002>-Steve
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