|
PureBytes Links
Trading Reference Links
|
The
big pain in the butt with CAR, and MAR is that those columns are not in the CSV
file produced by the Optimizer and there is no way to addcolumn to that data.
So, you to do it manually. Do you know a way that CAR can be calculated
using just the data from the optimizer? (Don't look at the backtest
results)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Thursday, April 17, 2003 12:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
To compound or not to compound... that is the
questionCAR = Cumulative Annual Return and is the
same as annual system % return in the AB Performance ReportMDD =
Maximum System % Drawdown and is in the AB Performance ReportMAR = CAR
/ MDD This does NOT show up in the backtest reports but can be calculated
easilly enough.--- In amibroker@xxxxxxxxxxxxxxx, "nkis22"
<nkishor@xxxx> wrote:> Dimitris,> I want to learn some
things about backtesting now. What is> CAR? MAR? MDD? I don't see these
columns when I optimize - just> learnt how to run one. Is there a way
to get this columns, the only> one that I can see is RAR.>
> tia> nand> > > --- In
amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:> >
Dingo,> > > > I assume you addressed this to Chuck, but
I'll give you my own take > > on 1a of what you asked
...> > > > 1a. I have tried lots of combinations of
things to optimize on and > > have pretty much settled on what I
and some others refer to as MAR > > which is CAR / MDD.
This has the advantage of finding parameters > > that simultaneously
elevate CAR while keeping down DD's. There are > > other
steps involved here to assure that the parameters chosen are > as
> > robust as they can be and sometimes at the cost of a little MAR
but > > that's another topic. When writing systems and
testing them for > full > > compounding whether that
compounding takes the form of increased > bet > > size or
increased number of simultaneous trades that can be made, > the
> > equity curve should be as close as possible to a straight line
on a > > log scale. KRatio is an indication of the
straightness of the > equity > > curve but I also like to see
it plotted. The other advantage to > > looking at equity
curves on a log scale is that for example a 10% > DD > >
looks the same regardless of where on the chart it occurs. If you
> > plot the equity curve on an arithmetic scale the farther to the
> right > > the larger dd's occur the more insignificant
(falsely) they appear > to > > be.> > >
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx>
wrote:> > > I can understand and appreciate why you use fixed
trade sizes in > > order> > > to get the best
parameters. But how do you get a reasonable > measure > >
of> > > drawdowns that way? Do you use some other technique
to evaluate> > > drawdowns?> > > > >
> Re your param selection method: Do I understand the steps > >
correctly: > > > > > > 1. You optimize for the
best params > > >
a. Based on what column or calculation?> >
> b. What date ranges would
you be using currently?> >
> c. What subset of stocks
would you be optmizing on?> > > > > > 2. You
set aside the the top 100.> >
> a. Do you set aside any
at the bottom?> >
> b. How did you determine
that the first set of params > would > > be> > >
at the edge of the parameter space? > > > > >
> 3. You reoptimize the resultant set from step 2 and those are the
> > ones> > > you use.> > > >
> > Given the size of your trading capital how do you decide what
> > stocks to> > > trade on a particular day?>
> > > > > I'm not trying to pick a fight here I'm
intensely curious as I've > > been> > > struggling
with these questions for quite some time now.> > > >
> > Thanks for any comments you choose to make.> > >
> > > d> > > > > > -----Original
Message-----> > > From: Chuck Rademacher
[mailto:chuck_rademacher@x] > > > Sent: Thursday, April 17, 2003
6:58 AM> > > To: amibroker@xxxxxxxxxxxxxxx> > >
Subject: [amibroker] To compound or not to compound... that is the>
> > question> > > > > > > > >
Reply to Fred:> > > > > > Yes... and
no.> > > > > > Absolutely, in real time
trading I am compounding.> > > > > > To
determine parameters via optimization.... not if my life > >
depended on> > > it! And, I guess my life does depend
on it, as I make my living> > > managing funds for
others.> > > > > > I mentioned one trade (AOL)
where my system made $1.5 million on a> > > $10,000
investment. That's not bragging... I'm sure you could > come
> > up> > > with a system that could achieve similar
performance. Since the> > > average trade
generated a profit of $2,700 for every $10,000 > > invested,>
> > the AOL trade could cover up lots of bad trades made using one
> > parameter> > > set. Compounding that
trade would exacerbate the problem. A > > minor>
> > tweak to the parameters could cut out the AOL trade, yet that
> very > > tweak> > > could improve performance
going forward. > > > > > > When
choosing parameters, I want plain vanilla trades, each > > standing
on> > > their own merit, with no compounding.> >
> > > > We may have to agree to disagree.
It's like absolute gospel to > me > > and> >
> I cannot see clear to do it any other way. >
> > > > > -----Original Message-----> > >
From: Fred [mailto:fctonetti@xxxx]> > > Sent: Thursday, April 17,
2003 3:16 AM> > > To: amibroker@xxxxxxxxxxxxxxx> > >
Subject: [amibroker] FW: [aaft_ta] Re: TradingRecipes> > >
> > > > > > Chuck,> > > > >
> I'm sure you'd agree, wouldn't you ?, that one way or another you
> > > compound. If you are not compounding by increasing
bet size then > > you > > > are compounding by
increasing the number of stocks you'll > > potentially > >
> take simultaneous positions in as equity grows, right ? >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher" > > > <chuck_rademacher@x> wrote:> >
> > For what it is worth, I use fixed bet size for all backtesting
> > > purposes. I> > > > coudn't
imagine backtesting/optimizing using any other > approach.
> > I > > > even go> > > > a step
further if I'm doing any optimizing. I recently posted
> > an > > > equity> > > > curve
showing something like $80 million in profit. Within > that
> > > $80> > > > million, the top 100 stocks (out
of 13,500) generated $20 > million > > in> > >
> profits. AOL, by itself, generated $1.5 million in profits.
> In > > > each case,> > > > the original
trade was only $10,000.> > > > > > > > As I
said, I go a step further than just using a fixed bet > size.
> > > After my> > > > first pass at optimizing, I
remove the top performing 100 > > stocks. > > > I
then> > > > re-optimize without those stocks. Granted, I
could end up with > > > some new> > > > "top"
stocks. However, my objective is to remove the extremely >
> > large> > > > winners so that the profits from those
stocks don't cause me to > > > select> > > >
parameters on the edge of the parameter space.> > > > >
> > > I don't bother removing the worst performers as the largest
> loss > > > might be> > > > something
like $16,000 (even though the original trade was only > > >
$10,000).> > > > This can happen if a short trade goes against
you.> > > > > > > > As I said... for what it's
worth...> > > > -----Original Message----->
> > > From: Bob Jagow [mailto:bjagow@xxxx]> >
> > Sent: Thursday, April 17, 2003 2:21 AM> > >
> To: Amibroker> > > > Subject:
[amibroker] FW: [aaft_ta] Re: TradingRecipes> > > > >
> > > > > > > Re the "portfolio level
testing" magic bullet.> > > > > > >
> Bob> > > > -----Original
Message-----> > > > From: Palmer Wright
[mailto:palmerw@xxxx]> > > > Sent: Wednesday,
April 16, 2003 8:27 PM> > > > To:
aaft_ta@xxxxxxxxxxxxxxx> > > > Subject: Re:
[aaft_ta] Fwd: Re: Available Portfolio testing > > > programs
for> > > > TS2000i> > > > > > >
> > > > > Since Michael forwarded the two
messages (see below), he > added > > > four> >
> > additional ones. The issue about whether a "basket system" like
> > > Aberration> > > > is worth trading I will
not discuss here (I still trade it). > The > > > other
main> > > > issue is about the effect of compounding when
testing with TR > > > (Trading> > > > Recipes),
and I comment here on that.> > > > > > >
> Traders buy TR because it can test portfolios of systems
and > > > markets using> > > > position
sizing. A position-sizing strategy such as fixed-> > > fractional
money> > > > management brings two advantages: it normalizes
markets (eg., > > > calculating> > > > many
contracts for corn, but few for natural gas), and limits > > entry
> > > risk for> > > > each position to a fixed-
fraction of current equity--thus > > > preventing> >
> > overtrading. If you do not use TR, I do not know how you can
> get > > > the large> > > > returns that
compounding multiple markets can bring.> > > > > >
> > Leslie Walko points to the potential danger of curve
fitting > > > caused by> > > > compounding. I
agree, and have been concerned for years about > how > > >
one market> > > > in a portfolio (commodity X) by being
dramatically profitable > in > > a > > >
single> > > > year can misleadingly bias the results of the
whole portfolio.> > > > > > > >
During a multi-year test in TR, starting equity is low, > perhaps
> > > $100,000,> > > > but compounding raises
equity to many million in later years. > The > > >
one-year> > > > outperformance of commodity X cand produce two
kinds of curve-> > > fitting bias:> > > >
early-years bias and end-years bias. Mark Johnson's message > > >
describes the> > > > first, where X gives "a big turbocharged
boost" to the > > portfolio's > > > equity,>
> > > which then gives a head-start boost to the number of trades
in > > all > > > the> > > >
commodities traded. The second occurs when X's monster trades > >
occur > > > in the> > > > final years of the
simulated time period when the large number > of > > >
contracts> > > > makes X's profit far larger than if its big
year came early. > Here > > > the> > > >
profits contributed by X dwarf what they were in the first case.>
> > > > > > > As the message from M
points out, we can avoid such biases by > > >
normalizing> > > > with a fixed-dollar bet size in testing to
remove the galloping > > > equity> > > >
effect. I proposed this method in 1999, and still use it to > >
compare > > > with the> > > > compounded
performance. I confess, however, that my testing has > > >
failed to> > > > find as much performance bias as I suspected
I would find. The > > > method is> > > > most
important when selecting markets for a portfolio.> > > >
> > > > Palmer Wright> > >
> ----- Original Message -----> > >
> From: Michael Guess> > >
> To: aaft_ta@xxxxxxxxxxxxxxx> > >
> Sent: Sunday, April 13, 2003 9:14 AM> >
> > Subject: [aaft_ta] Fwd: Re: Available
Portfolio testing > > > programs for> > > >
TS2000i> > > > > > > > > > >
> This is for Pat Mazur & Palmer Wright. Others
are invited > to > > > comment. I> > > >
forwarded these two messages from another list because we have >
> > discussed> > > > these issues in the past. It
appears one of the posts is saying > > > Trading> >
> > Recipes is in error in the way it calculates. In fact, that it
> > > curve fits> > > > data in a particular
case. Comments are invited.> > > > > > >
> Michael> > > > > > >
> > > > > > > > > Your use of
Yahoo! Groups is subject to the Yahoo! Terms of > > >
Service.> > > > > > >
> Yahoo! Groups
Sponsor> > >
>
ADVERTISEMENT> > > > > > > > > >
> > > > > > > > > > Send BUG
REPORTS to bugs@xxxx> > > > Send SUGGESTIONS to
suggest@xxxx> > > >
-----------------------------------------> > > >
Post AmiQuote-related messages ONLY to: >
amiquote@xxxxxxxxxxxxxxx> > > > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > >
--------------------------------------------> > >
> Check group FAQ at:> > > > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> > > > > > > Your use of Yahoo! Groups
is subject to the Yahoo! Terms of > > > Service.> >
> > > > > > > > > > Send BUG REPORTS
to bugs@xxxx> > > Send SUGGESTIONS to suggest@xxxx> >
> -----------------------------------------> > > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > >
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > --------------------------------------------> > > Check
group FAQ at:> > > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > Your use of Yahoo! Groups is subject to
the Yahoo! Terms of > Service> > > <<A
href="">http://docs.yahoo.com/info/terms/>
. > > > > > > > > > > > >
Yahoo! Groups Sponsor > > >
> > > > > > <<A
href="">http://rd.yahoo.com/M=249982.3179269.4495679.1728375/D=egroupweb/S=17>
> 05> > > 632198:HM/A=1524963/R=0/*<A
href="">http://hits.411web.com/cgi-bin/autoredir?>
> camp=5> > >
56&lineid=3179269&prop=egroupweb&pos=HM>
> > > > > >
<<A
href="">http://us.adserver.yahoo.com/l?>
> M=249982.3179269.4495679.1728375/D=egrou> > >
pmail/S=:HM/A=1524963/rand=443673454>
> > > > > > Send BUG REPORTS to bugs@xxxx>
> > Send SUGGESTIONS to suggest@xxxx> > >
-----------------------------------------> > > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > >
> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> > --------------------------------------------> > > Check
group FAQ at:> > > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > > > > Your use of Yahoo! Groups is subject to
the Yahoo! Terms of > Service> > > <<A
href="">http://docs.yahoo.com/info/terms/>
.Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|