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<SPAN
class=594000118-17102002>Rick,
<SPAN
class=594000118-17102002>
Yes, I
have tried Herman's optimizer -- it is designed to optimze the parameters to
maximize the total system return. That is useful, but not exactly what I want.
If I optimize the system to maximize gains, the drawdowns become horrible. I
need a system that produces steady monthly returns.
<SPAN
class=594000118-17102002>
You
can get at least 50 years of historical EOD data from Yahoo. The DOW, SP500,
Utilities, and transports all have at least 50 years of data
available.
<SPAN
class=594000118-17102002>
<SPAN
class=594000118-17102002>-Steve
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: Thursday, October 17,
2002 2:01 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Optimizing for consistent performance
<FONT color=#000080
size=2>Steve,
Not exactly
sure what you are asking. But have you tried Herman's 3-D Optimizerfor
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 color=#000080 face="Vladimir Script"
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 donot
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? <SPAN
class=437573315-17102002>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 are other AB
users optimizing their equity curve?
<SPAN
class=437573315-17102002>Cheers,
<SPAN
class=437573315-17102002>-StevePost
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