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That IS what I was trying to say. I suspect because equity feed back
is like looking in a rear view mirror, great for letting us know
where we were and how we could have adjusted the past to make it
better, but that's about it.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> don't think I get what you mean here fred.
>
> 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.
>
> 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?
>
> 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.
>
> if I've misunderstood completely, my apoligies (:-)
>
> dave
> 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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