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Steve,
Lot's of folks like Expectancy and seemed to have learned it from
similar sources. I had put it in one of the incarnations of the
original EquityLine indicator after I got the details of it from
Herman, but personally I can't say that I like it much and have since
removed it for several reasons not the least of which is that it
needs the details of each buy and sell as opposed to the details of
the equity curve itself. Maybe I just don't understand it. I
personally like MAR which equals CAR / MDD and find this for my own
uses to be a simple handy thing to optimize on. The problem of
course is that this number is not immediately available in the
optimization reports from AB. In addition to that I want to see that
UI (Ulcer Index) isn't high as this is a measure of how much pain
your stomach is going to go through getting the returns your system
says it's going to and I like to see what KRatio is as this is the
measurement of how straight the equity curve (Implemented in my
indicator based on log scaling). KRatio was initially developed for
futures traders who usually do trade similar amounts on each trade
because of the amount of leverage involved and therefore strive to
achieve straight equity curves on an arithmetic scale. In addition
they use one of several other formulae to determine how to scale
up/down the number of contracts etc. but that's a whole different
topic.
--- In amibroker@xxxxxxxxxxxxxxx, "Stephen Almond \(F\)" <steve@xxxx>
wrote:
> System Testing & Evaluation Portfolios was Trailing Stops ?Fred,
>
> I'm always interested to hear your views and don't consider them an
attack in any way.
> One more thing. what is your thought on the use of expectancy as a
quality parameter?
> I recall you like Ann%/DD%. Is this better than expectancy?
>
> Steve
>
>
>
>
>
> ----- Original Message -----
> From: Fred Tonetti
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, April 12, 2003 5:51 PM
> Subject: [amibroker] System Testing & Evaluation Portfolios was
Trailing Stops ?
>
>
> Steve,
>
> None of my arguments/discussion points were meant to be an attack
so PLEASE don't take them that way ... Regardless of what any
particular system returns or doesn't I would want to see results in
the way I have stated that I prefer for exactly the reasons I have
stated.
>
> All / Any,
>
> On another front in response to and a question for those who do
baskets of stocks/portfolio trading the attached picture represents
the issue that I noticed the other day which is that it appears that
AB does NOT limit the total percentage of capital invested to 100%
when the possibility of simultaneous trades is in play.
>
> Notice in the attached picture that InitialEquity is set to 10000
and that PositionSize is set to 2500 but that in the first trades
that AB opens up it allows 10 positions to be opened at 2500 each for
a total of 25000 even with AllowPositionSizeShrinking checked !!!
Did I miss something here ? If not I would think this issue would be
of paramount importance to those testing/trading baskets/portfolios
of stocks.
>
> <<...>>
>
>
>
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