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DT,
Optimal means different things to different people.
To me it means highest MAR = CAR / MDD.
However, it also means the ability to perform in good markets as well
as bad. If you notice the MDD's happen during the largest bear
market rally that occured since 1/2000 and they are sizable. I
suggest you widen the view to include from 8/98 forward and you'll
see why IMHO there is no point in optimizing a system over the last 3
years which is virtually all bear market with some intervening
rallies. If the current market suddenly became like that of the late
nineties it's the out of sample performance prior to 1/2000 that you
could expect and you'd be out of money in a hurry, wouldn't you ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> This is the correct attachment.
> Please cancel the previous wrong one.
> DT
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, February 10, 2003 2:01 PM
> Subject: Optimization quiz
>
>
> The optimal solution for the single level ^NDX D-ratio is a quite
interesting +780% from Jan2000 till now.
> Is there any optimization solution better than the optimal ?
> Do not answer quickly, the answer is positive...
> Dimitris Tsokakis
>
> Settings:Trade at +1Open with 0.5% commission and all stops
disabled.
> Dratio=1000*(H-L)/(H+L);
> Z=5;
> RRR=DEMA(Dratio,Z);RRRR=DEMA(RRR,10);
> D1=Optimize("D1",26,15,65,1);
> D2=D1;
> F1=RRRR>=D2;F2=RRRR<=D1;
> Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem
(Cover,Short);
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