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Where can Herman's 3D analyser be obtained?
Ted
----- Original Message -----
From: "Alexander Dimitrov" <aldim@xxxx>
To: "Steve Davis" <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 17, 2002 12:25 PM
Subject: Re[2]: [amibroker] Optimizing for consistent performance
> Hello Steve,
>
> In my very humble opinion you should optimize for expectation - high
> expectation will take care of the drawdowns and at the same time will
> make the performance consistent.
> Just make the optimization as you normally do it in the AA. Then
> export the results to Excel. In the output columns you have enough
> information to calculate the expectancy
> (Avg.Win*PercentProfitable/Avg.Loss - PercentLosing)
> and add it to a new column. Then use the 3D analyser to see plateaux
> for expectancy.
> Even better, you could take a look at the expectancy
> figure, multiplied by the number of deals.
>
> Regards,
>
> Alexander Dimitrov
> SD> Rick,
>
> SD> Hermans 3D optimizer is a blast to play with. I am having great fun
> SD> exploring new ideas. You make a good point, sharp peaks bad, rolling
hills
> SD> good. I will look for that.
>
> SD> I'm not sure if I'm adequately expressing my original point. The
z-axis of
> SD> the 3D plot is total system return over the 50-year test. I am
suggesting
> SD> perhaps there is some other system measurement that could be used for
the
> SD> z-axis. I need a mathematical expression that evaluates the return of
the
> SD> system but also takes into account the volatility of the equity curve.
>
> SD> Thanks for the discussion. Putting this into words helps me clarify my
own
> SD> thoughts.
> SD> -Steve
>
> SD> -----Original Message-----
> SD> From: Rick Parsons [mailto:RickParsons@x...]
> SD> Sent: Thursday, October 17, 2002 2:23 PM
> SD> To: amibroker@xxxxxxxxxxxxxxx
> SD> Subject: RE: [amibroker] Optimizing for consistent performance
>
>
> SD> Steve,
>
> SD> Re: >>it is designed to optimize the parameters to maximize the
total
> SD> system return.<<
>
> SD> Just my humble opinion but I suspect you are using the 3-D for the
wrong
> SD> purposes. If you want maximum returns, you can simply optimize in AA
and
> SD> sort by % return.
>
> SD> 3-D is to show you which parameters are the most robust. If you
find a
> SD> large flat plain in the 3-D that means there is a wide range of
parameters
> SD> that give consistent returns. This is robustness.
>
> SD> If you use 3-D to find the best return, chances are it is located on
a
> SD> peak with sharp drop-offs (although this is not always the case). The
sharp
> SD> drop-offs indicate that the parameters are not robust.
>
> SD> To some extent, robustness helps with "consistent performance".
>
> SD> Rick
> SD> -----Original Message-----
> SD> From: Steve Davis [mailto:sdavis@x...]
> SD> Sent: Thursday, October 17, 2002 2:07 PM
> SD> To: amibroker@xxxxxxxxxxxxxxx
> SD> Subject: RE: [amibroker] Optimizing for consistent performance
>
>
> SD> Rick,
>
> SD> Yes, I have tried Herman's optimizer -- it is designed to optimze
the
> SD> parameters to maximize the total system return. That is useful, but
not
> SD> exactly what I want. If I optimize the system to maximize gains, the
> SD> drawdowns become horrible. I need a system that produces steady
monthly
> SD> returns.
>
> SD> You can get at least 50 years of historical EOD data from Yahoo.
The
> SD> DOW, SP500, Utilities, and transports all have at least 50 years of
data
> SD> available.
>
> SD> -Steve
> SD> -----Original Message-----
> SD> From: Rick Parsons [mailto:RickParsons@x...]
> SD> Sent: Thursday, October 17, 2002 2:01 PM
> SD> To: amibroker@xxxxxxxxxxxxxxx
> SD> Subject: RE: [amibroker] Optimizing for consistent performance
>
>
> SD> Steve,
> SD> Not exactly sure what you are asking. But have you tried
Herman's 3-D
> SD> Optimizer for Excel (in download area, I believe) to find the most
robust
> SD> parameters?
>
> SD> Another question: Where did you get 50 years of data?
>
> SD> Thanks,
>
> SD> Rick
> SD> -----Original Message-----
> SD> From: Steve Davis [mailto:sdavis@x...]
> SD> Sent: Thursday, October 17, 2002 1:34 PM
> SD> To: amibroker@xxxxxxxxxxxxxxx
> SD> Subject: [amibroker] Optimizing for consistent performance
>
>
> SD> AB rocks! After using AB for only a month, I have developed a
system
> SD> that produces 50% risk-adjusted-returns trading the S&P500 over the
last 50
> SD> years. It is a short-term trading system with an average trade lasting
4
> SD> days.
>
> SD> But there is some spikiness in the equity curve. I am having
some
> SD> difficulty tuning the system to produce steady monthly cash flow. The
goal
> SD> is not to maximize profits over 50 years, but to produce consistent
> SD> profitable results.
>
> SD> One problem is how to measure the system performance so it can
be
> SD> properly tuned. I do not know many important statistics of the system.
For
> SD> example, has the system ever had a losing year? What is the worst-case
> SD> number of consecutive losing months? I don't think minimizing drawdown
is
> SD> sufficient to meet my goals.
>
> SD> The approach I have been using is an iterative process of
> SD> eye-balling the equity curve, changing parameters, and trying again.
There
> SD> must be a better way. Is there a reasonable way to automate this task?
>
> SD> How are other AB users optimizing their equity curve?
>
> SD> Cheers,
> SD> -Steve
>
>
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