Re: [amibroker] Invitation -- suggest your favorite objective function

["Al Venosa" <advenosa@xxxxxxxxxxxx>]

I think there are numerous ways to evaluate your system rather than relying 
on one objective function. For example, the other day, I was doing a portfolio 
optimization to find out the optimum no. of positions I should have open, given 
a certain amount of starting equity. I then plotted the results of a few of the 
output parameters TJ now gives us in an optimization output. See attached png 
file. If you were simply using one objective function (CAR) without considering 
anything else, you would choose 5 open positions because that's where CAR max'd 
out. However, MAR (=CAR/MDD) was still rising as was UPI (you want that to be 
high), while UI (you want that to be low) was still falling and RAR/MDD was 
still not max'd out yet. So, when you look at 7 open positions, you see that UI 
had pretty much bottomed, UPI, RAR/MDD, and MAR had finally topped. So, in this 
particular case, the optimum no. of open positions would be selected to be 7, in 
my opinion, rather than 5. So, using this tiny little example, I think you need 
to look at several different objective functions and decide on the best strategy 
based on the total story they all tell. I also like to use expectancy, which I 
think is an extremely important and useful objective function. Sorry for the 
multiple answer, but I don't think there is only one criterion upon which 
to judge a trading system. 
 
Al Venosa
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Howard 
  Bandy 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Tuesday, October 21, 2003 4:27 
  PM
  Subject: [amibroker] Invitation -- 
  suggest your favorite objective function
  Greetings --After reading and writing several 
  postings about objective functions, Iinvite AmiBroker users to post their 
  favorite objective functions.  Either atext description or an afl 
  code segment.  I'll summarize the responses andpost the 
  results.  Remember -- choice of an objective function is 
  personal;there is no right or wrong.  So no flaming, please.  
  When responding, pleasetry to stay on 
  topic.Howard
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