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<FONT color=#000080
size=2>Alexander,
What an excellent
formula.
<FONT color=#000080
size=2>
Unfortunately,
the AA grid does not include percentage winners and must be calculated
separately, which can be done. I have been after Tomasz for a while to add
percent winners to the AA grid. Maybe someday soon! (Hint,
Hint).
<FONT color=#000080
size=2>
Anyway, one can
get the percentage winners into a spreadsheet in a very simple way: use
Dale "Digital Dingo"'s Rx program !
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Alexander Dimitrov
[mailto:aldim@xxxx]Sent: Thursday, October 17, 2002 3:26
PMTo: Steve DavisSubject: Re[2]: [amibroker] Optimizing
for consistent performanceHello Steve,Inmy
very humble opinion you should optimize for expectation - highexpectation
will take care of the drawdowns and at the same time willmake the
performance consistent.Just make the optimization as you normally do it in
the AA. Thenexport the results to Excel. In the output columns you have
enoughinformation to calculate the
expectancy(Avg.Win*PercentProfitable/Avg.Loss - PercentLosing)andadd
it to a new column. Then use the 3D analyser to see plateauxfor
expectancy.Even better, you could take a look at the expectancyfigure,
multiplied by the number of deals.Regards,Alexander
DimitrovSD> Rick,SD> Hermans 3D optimizer is a blast toplay
with. I am having great funSD> exploring new ideas. You make a good
point, sharp peaks bad, rolling hillsSD> good. I will look for
that.SD> I'm not sure if I'm adequately expressing my original
point. The z-axis ofSD> the 3D plot is total system return over the
50-year test. I am suggestingSD> perhaps there is some other system
measurement that could be used for theSD> z-axis. I need a mathematical
expression that evaluates the return of theSD> system but also takes
into account the volatility of the equity curve.SD> Thanks forthe
discussion. Putting this into words helps me clarify my ownSD>
thoughts.SD> -SteveSD> -----Original
Message-----SD> From: Rick Parsons
[mailto:RickParsons@xxxx]SD> Sent: Thursday,
October 17, 2002 2:23 PMSD> To:
amibroker@xxxxxxxxxxxxxxxSD> Subject: RE: [amibroker]
Optimizing for consistent performanceSD>
Steve,SD> Re: >>it is designed to optimize the
parameters to maximize the totalSD> system
return.<<SD> Just my humble opinion but I suspect
you are using the 3-D for the wrongSD> purposes. If you want
maximum returns, you can simply optimize in AA andSD> sort by %
return.SD> 3-D is to show you which parameters arethe
most robust. If you find aSD> large flat plain in the 3-D that
means there is a wide range of parametersSD> that give consistent
returns. This is robustness.SD> If you use 3-D to
find the best return, chances are it is located on aSD> peak with sharp
drop-offs (although this is not always the case). The sharpSD>
drop-offs indicate that the parameters are not
robust.SD> To some extent, robustness helps with
"consistent performance".SD>
RickSD> -----Original
Message-----SD> From: Steve Davis
[mailto:sdavis@xxxx]SD> Sent:
Thursday, October 17, 2002 2:07 PMSD> To:
amibroker@xxxxxxxxxxxxxxxSD> Subject: RE:
[amibroker] Optimizing for consistent
performanceSD>
Rick,SD> Yes, I have tried Herman's
optimizer -- it is designed to optimze theSD> parameters to maximize
the total system return. That is useful, but notSD> exactly what I
want. If I optimize the system to maximize gains, theSD> drawdowns
become horrible. I need a system that produces steady monthlySD>
returns.SD> You can get at least 50 years
of historical EOD data from Yahoo. TheSD> DOW, SP500, Utilities, and
transports all have at least 50 years of dataSD>
available.SD>
-SteveSD> -----Original
Message-----SD> From: Rick Parsons
[mailto:RickParsons@xxxx]SD>
Sent: Thursday, October 17, 2002 2:01
PMSD> To:
amibroker@xxxxxxxxxxxxxxxSD>
Subject: RE: [amibroker] Optimizing for consistent
performanceSD>
Steve,SD> Not exactly sure what you
are asking. But have you tried Herman's 3-DSD> Optimizer for
Excel (in download area, I believe) to find the most robustSD>
parameters?SD> Another
question: Where did you get 50 years of
data?SD>
Thanks,SD>
RickSD> -----Original
Message-----SD> From:
Steve Davis
[mailto:sdavis@xxxx]SD>
Sent: Thursday, October 17, 2002 1:34
PMSD> To:
amibroker@xxxxxxxxxxxxxxxSD>
Subject: [amibroker] Optimizing for consistent
performanceSD>
AB rocks! After using AB for only a month, I have developed a systemSD>
that produces 50% risk-adjusted-returns trading the S&P500 over the last
50SD> years. It is a short-term trading system with an average trade
lasting 4SD>
days.SD> But there
is some spikiness in the equity curve. I am having someSD> difficulty
tuning the system to produce steady monthly cash flow. The goalSD>is
not to maximize profits over 50 years, but to produce consistentSD>
profitable
results.SD> One
problem is how to measure the system performance so it can beSD>
properly tuned. I do not know many important statistics of the system.
ForSD> example, has the system ever had a losing year? What is the
worst-caseSD> number of consecutive losing months? I don't think
minimizing drawdown isSD> sufficient to meet my
goals.SD> The
approach I have been using is an iterative process ofSD> eye-balling
the equity curve, changing parameters, and trying again. ThereSD> 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>
-SteveSD> Post
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