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It would be possible to do this using ... OMG I can't believe he's
going to say this ... ABTool. i.e. Calc UPI and stuff it in a table
along with the values of the parameters associated with the
iteration. You can export and import the table between passes add
another entry and keep going. I sort of do this in PT where the
optimization report puts out row/line/record per iteration.
MAR/CAR/MDD and some other stuff are in there. They I just get it in
excel and sort on whatever.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" <sdavis@xxxx> wrote:
> Fred, or anyone else who may know:
>
> I have been optimizing my systems for maximum MAR. This is easy
enough to do
> when the optimizer output is exported to excel since all the data
needed for
> the calculation is readily available. Actually, before somebody
gets upset,
> I know it is not MAR exactly, but total system return divided by
max system
> drawdown is similar to MAR conceptually.
>
> Lately, I am thinking UPI is a better system parameter to optimize,
since it
> involves all drawdowns, not just the worst-ever drawdown.
>
> Have you found any way to optimize a system for maximum UPI?
>
> thanks
> -steve
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