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Hi Al –
Thanks for your post. Your opinion points
out exactly why this discussion is important. I hope we will get a better
feeling for what is important, then create “custom” objective
functions that take multiple sub-objectives into account through weighting of
the components.
Thanks,
Howard
-----Original Message-----
From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]
Sent: Tuesday, October 21, 2003
5:14 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker]
Invitation -- suggest your favorite objective function
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
----- Original Message -----
<span
>From:<font
size=2 face=Arial> <a
href="" title="howardbandy@xxxxxxxxx">Howard Bandy
To:<font size=2
face=Arial> <a
href="" title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<font size=2
face=Arial> Tuesday, October
21, 2003 4:27 PM
Subject:<font size=2
face=Arial> [amibroker]
Invitation -- suggest your favorite objective function
<font size=2
face="Courier New">Greetings --<font
size=2 face="Courier New">
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
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