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To get a quick visual of yearly performance you can use this
Plotting/Exploration formula:
//... your system here ...
Period = Year() != Ref(Year(),-1);
Ep = ValueWhen(Period, E);
Plot(E,"Equity",1,1);
Plot(Ep,"PeriodEquity",4,1);
AddColumn(Ep-Ref(Ep,-1),"Eq/Pd",1.2);
Filter = Period;
/*
Best Regards,
Herman.
-----Original Message-----
From: Steve Davis [mailto:sdavis@x...]
Sent: 17 October, 2002 1:34 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [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.
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.
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? I don't think minimizing drawdown is sufficient
to meet my goals.
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?
How are other AB users optimizing their equity curve?
Cheers,
-Steve
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