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I
would appreciate it if someone could help me to understand what I'm seeing in an
optimization run.
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I am
running about 1000 combinations of parameters over 7,500 stocks over
15 years of daily data. Fortunately, my PC has plenty of grunt
and the run actually finishes.
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Most
columns in the results grid show negative results. Net
profit, RAR, Average Trade, etc. are all negative and the profit factor is less
than one.
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<FONT face=Arial color=#0000ff
size=2>You might be tempted to say "try another
system".
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BUT...
the composite equity curve is showing a very positive and consistent
profit. Since this system was converted from a profitable MetaStock
system, I expected to see a profitable equity curve. I sorted the
results by "Average Trade" and then did a backtest on the highest ranked set of
parameters, even though the average trade was showing as a negative
value.
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I am
building the composite equity by saying:
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<FONT face=Arial color=#0000ff
size=2>AddToComposite(Equity()/1000, "~Composite", "X");
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The
reason I divide by 1,000 is so that the profit values are shown in an
acceptable format without overflowing into scientific notation. The equity
curve is a very attractive 40% angle, gradually going from zero to $30
million.
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Since
the equity curve looks like what I expect, why don't I see positve values for
the important metrics like RAR, Average Trade, etc.?
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I want
to believe the equity curve, of course. But I'm uncomfortable seeing
all the negative metrics.
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I'm
also uncomfortable simply selecting the highest ranked set of parameters when
the best value is negative.
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Any
assistance or comments would be appreciated.
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