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Like a lot of other things that sound like they SHOULD work, I have
never found metrics related to equity curve feedback to be of much
value in the determination of system parameter values.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> interesting as usual howard (:-). one piece I wanted to drill into
a bit.
>
> I wonder what the effect of using performance measures that
concentrate on
> certain things at the expense of others actually is.
>
> for example, my auto-optimization stuff currently uses simple
profit per bar
> to choose parameter values. my gut-level assumption was that since
it was
> ignoring drawdown (among other things), the resulting systems might
have
> higher drawdown than I was comfortable with, but that profit per
bar should
> be as good as the trading method could produce.
>
> maybe that's not the case. maybe by choosing a more balanced
success metric,
> not only would the other factors not considered by my simplistic
first pass
> metric be improved, but profitability might be improved as well.
>
> is this something you've investigated or thought about? anyone else?
>
> dave
> Note ? it is perfectly valid to have different objective
functions for
> different purposes. For example, I might be modeling the behavior
of a
> sector, say oil services, with the intent of trading individual
stocks based
> on what I learn. In this case, I want to identify periods of
rising prices
> with careful attention to turning points, but without much interest
in
> overall profit. On the other hand, I might be modeling individual
high beta
> tech stocks, in which case my model includes several stop loss
techniques
> and I care most about avoiding drawdowns.
>
>
>
> Thanks,
>
> Howard
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