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sure sounds like alchemy to me.. You need
to take one or 2 stocks and treat that as your portfolio and see if the composite
matches it/them. That should point to the problem.
d
<span
>-----Original Message-----
From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]
Sent: Wednesday, March 12, 2003
10:22 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Optimization
questions
<span
>
<span
>I would appreciate it if
someone could help me to understand what I'm seeing in an optimization run.
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>You might be tempted
to say "try another system".
<span
>
<span
>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.
<span
>
<span
>I am building the
composite equity by saying:
<span
>
<span
>AddToComposite(Equity()/1000,
"~Composite", "X");
<span
>
<span
>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.
<span
>
<span
>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.?
<span
>
<span
>I want to believe the
equity curve, of course. But I'm uncomfortable seeing all the
negative metrics.
<span
>
<span
>I'm also uncomfortable
simply selecting the highest ranked set of parameters when the best value is
negative.
<span
>
<span
>Any assistance or
comments would be appreciated.
<span
>
<span
>
<span
>
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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