|
PureBytes Links
Trading Reference Links
|
Hi,
Some objective functions (both Forward Test and Backward Test) I can
think of:
Number of Trades (in my view has to be atleast 30 for a back test to
be statistically valid)
Profitable Trades
Average Hit Rate (%)
Average Net Profit (%)
Average Profit/Trade(%)
Average APR per Trade (%)
APR - A mathematical measurement of the success of a trading system
indicating the gain or loss of a system normalized to 250 bars of
active positions. APR may contain the "BT" or "FT" prefix when used
in context with Profile Statistics.
Advisor Rating: A buy or sell recommendation accompanied by a number
from 1 - 100 that indicates relative confidence in the signal. The
signal and numerical rating are based on the active Trading Model,
system test, and trading filters you define. The Advisor Rating is
an indication of the strength of the signal relative to the other
signals for that particular underlying instrument. The Advisor
Rating is not a probability. Advisor Rating can be used to optimize
your entry points for a trade.
BTProf%: Back Test Percent Profit. Defined as the total profit
divided by the number of days in the market. It is calculated by
summing the total profit in all trades over the Back Test period and
dividing the total number of days spent in the market for that
period. Percent profit is a base statistic for BTAPR. Similarly for
FTProf%
Reward-to-Risk Ratio: The average return on an account (on a yearly
basis) divided by the maximum peak-to-trogh drawdown. A ratio > 3 is
considered excellent. It might also refer to the size of the
avaerage winning trade divided by the size of the average losing
trade.
Regards,
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> Greetings --
>
> After reading and writing several postings about objective
functions, I
> invite AmiBroker users to post their favorite objective functions.
Either a
> text description or an afl code segment. I'll summarize the
responses and
> post the results. Remember -- choice of an objective function is
personal;
> there is no right or wrong. So no flaming, please. When
responding, please
> try to stay on topic.
>
> Howard
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|