RE: [amibroker] Profit Prediction Was: Auto-optimization AFL uploaded

["Dave Merrill" <dmerrill@xxxxxxx>]

<BLOCKQUOTE 
>
  
  <SPAN 
  >Isn&#8217;t there some 
  aspect of past performance (results) that can &#8220;persist&#8221; for some time.  
  That is to say, that a stock or mutual fund that is profitable for awhile (esp 
  from a backtest or ranking perspective) does not and probably will not remain 
  profitable &#8220;forever&#8221;.  However, it can and does remain a good performer 
  for some period.<FONT face="Courier New" 
  color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003>you'd think so, 
wouldn't you? what's the point of backtesting anything ever, if the future can't 
be at least kind of, sort of, approximately, semi-fake-estimated from what 
happened in the past? 
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003>but I kept 
hearing things like "CCI(something)", and "MA(this) cross MA(that)", with some 
single test and/or optimization period to back it up. people didn't usually talk 
about optimizing over one time period, then testing with those optimal settings 
for a while *after* that, then optimizing again later, etc.. the general vibe 
was that this strategy and settings were and had been somehow golden for 
forever. (of course I'm exaggerating; these are smart, unpretentious people, but 
the underlying logic still seemed like that to me.) when I optimized some 
of those same things myself, over different time periods, I concluded that 
what you'd recommend depended to a huge degree on what dates you looked at. 
that's one of the main reasons why I wrote this, to automate optimization over a 
bunch of time periods, and see if things stayed constant and/or profitable. 
neither.
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff>sowhattheheck. 
<SPAN 
><SPAN 
class=910545203-30102003> 
<BLOCKQUOTE 
>
  
  
  <SPAN 
  >What parameter(s) 
  measure this?  It probably changes over time but it seems a combination 
  of return along with absence of large volatility is a key measure.  The 
  UPI or UI or even CAR/Mdd seems like it captures more than just raw 
  return.  While this seems more true for mutual funds (actively managed 
  ones at that), it can also be true for certain stocks in certain 
  industries.
  <SPAN 
  > 
  <SPAN 
  >Just rambling out 
  loud&#8230;.I have not had time to try your system----can it optimize against 
  CAR/Mdd? for example?
  <SPAN 
  > 
  <SPAN 
  >Ken<SPAN 
  class=910545203-30102003><FONT face="Courier New" 
  color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003>as shipped, the 
framework comes with two metrics to choose from, profit per bar, and net bars on 
the right side of the market per bar, meaning basically 
this: 
<SPAN 
><SPAN 
class=910545203-30102003>  ((bars 
long and rising + bars short and falling) - (bars long and falling + bars 
short and rising)) / number of bars
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003>both metrics can 
penalize the score by a selectable percentage of max drawdown. for instance, at 
zero penalty, MDD doesn't effect the score; at 50%, 20% MDD reduces the score by 
10%; at 100%, by 20%.
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003>you can also add 
your own metrics, AND OBVIOUSLY YOU SHOULD, because neither of these are that 
great, or none of the trading rules tested are, or something. another one I've 
thought of is some kind of measure of the smoothness of the equity curve, which 
is MDD is a crude look at. many of the standard metrics are something of a 
pain to code on the results of the Equity function. hopefully, at some point 
tomasz will give us AB's full suite of report metrics, as functions that work 
off Equity.if you haven't check the framework out yet, I'd suggest waiting for 
the new-and-improved v1.1, due out soon.
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff> 
<SPAN 
><SPAN 
class=910545203-30102003><FONT face="Courier New" 
color=#0000ff>dave






Yahoo! Groups Sponsor












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 the Yahoo! Terms of Service.