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<SPAN
class=522583218-17102002>Rick,
<SPAN
class=522583218-17102002>
<SPAN
class=522583218-17102002>Hermans 3D optimizer is a blast to play with. I am
having great fun exploring new ideas. You make a g<FONT
color=#0000ff face=Arial size=2>ood point, sharp
peaks bad, rolling hills good. I will look for that.
<SPAN
class=522583218-17102002>
I'm
not sure if I'm adequately expressing my original point.
<SPAN
class=522583218-17102002>The z-axis of the 3D plot is total system returnover
the 50-year test. I am suggesting perhaps there is some other system measurement
that could be used for the z-axis. I need a mathematical expression that
evaluates the return of the system but also takes into account the volatility of
the equity curve.
<SPAN
class=522583218-17102002>
Thanks
for the discussion. Putting this into words helps me clarify my own
thoughts.
<SPAN
class=522583218-17102002>-Steve
<SPAN
class=522583218-17102002>
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: Thursday, October 17,
2002 2:23 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Optimizing for consistent performance
<FONT color=#000080
size=2>Steve,
<FONT color=#000080
size=2>
Re:
>>it is designed to optimize the
parameters to maximize the total system
return.<<
<FONT color=#000080
size=2>
Justmy humble
opinion but I suspect you are using the 3-D for the wrong purposes. If
you want maximum returns, you can simply optimize in AA and sort by %
return.
<FONT color=#000080
size=2>
3-D is to show
you which parameters are the most robust. If you find a large flat plain
in the 3-D that means there is a wide range of parameters that give consistent
returns. This is robustness.
<FONT color=#000080
size=2>
If you use 3-D
to find the best return, chances are it is located on a peak with sharp
drop-offs (although this is not always the case). The sharp drop-offs
indicate that the parameters are not robust.
<FONT color=#000080
size=2>
To some extent,
robustness helps with "consistent performance".
<FONT color=#000080
size=2>
<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
2:07 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Optimizing for consistent performance
<SPAN
class=594000118-17102002>Rick,
<SPAN
class=594000118-17102002>
<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>
<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 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 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!
<SPAN
class=437573315-17102002>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 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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