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<FONT color=#000080
size=2>Steve,
Not exactly sure
what you are asking. But have you tried Herman's 3-D Optimizer for Excel
(in download area, I believe) to find the most robust
parameters?
<FONT color=#000080
size=2>
Another
question: Where did you get 50 years of data?
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Thanks,
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Davis
[mailto:sdavis@xxxx]Sent: Thursday, October 17, 2002 1:34
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Optimizing for consistent performance
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 there is 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 everhad
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 there a
reasonable way to automate this task?
<SPAN
class=437573315-17102002>
How areother AB
users optimizing their equity curve?
<SPAN
class=437573315-17102002>Cheers,
<SPAN
class=437573315-17102002>-StevePost
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