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<SPAN
class=806363715-19102003>don't think I get what you mean here
fred.
<SPAN
class=806363715-19102003>
<SPAN
class=806363715-19102003>you can't be saying that metrics on the equity curve of
a trading strategy or its parameters aren't useful, right? that's the only thing
we have to judge the effectiveness of our methods and
settings.
<SPAN
class=806363715-19102003>
<SPAN
class=806363715-19102003>so you must be saying that equity feedback isn't a
useful concept, regardless of how you measure "good" equity. do I have that
right?
<SPAN
class=806363715-19102003>
<SPAN
class=806363715-19102003>if so, as I've said, my experience agrees -- none of
the indicators I've tried are wonderfully profitable when auto-optimized this
way. I just cannot for the life of me understand why that's the case, if
backtests tell us anything useful about future performance.
<SPAN
class=806363715-19102003>
<SPAN
class=806363715-19102003>if I've misunderstood completely, my apoligies
(:-)
<SPAN
class=806363715-19102003>
<SPAN
class=806363715-19102003>dave
<BLOCKQUOTE
>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,> > HowardSend
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