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Mark:
I may be jumping the gun somewhat with this question, and if I am, correct,
me, but I was wondering why you choose PF as your primary evaluation
criterion (as opposed to, for example, MAR, which takes into consideration
both profit and dd at the same time)?
Al Venosa
Original Message:
-----------------
From: quanttrader714 quanttrader714@xxxxxxxxx
Date: Mon, 03 Nov 2003 15:52:47 +0000
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] On Robustness, Post #2
<html><body>
<tt>
Here's Criterion #2 (from the condensed version of five total).<BR>
<BR>
Perform the following for each group of stocks (small, mid and large<BR>
cap) separately. With AA range setting on a range that contains a<BR>
bull, bear and sideways period (Mar 98- Mar03 is good enough),<BR>
commission setting at least .5% and in the reports tab, no trades,<BR>
backtest system on all stocks in the group. Now sort by # trades<BR>
(with most on top). Copy and paste into a spreadsheet. *Looking at<BR>
the top 20%* (ranked from greatest number of trades to fewest),<BR>
determine the % of stocks that have profit factors >1 (can copy down a<BR>
formula such as =IF(O2>1,1,0)). Also calculate mean (average in<BR>
Excel) and median PF of the top 20%. Looking for *minimum* >50% with<BR>
PFs >1, mean and median PF both >1, the higher the better. Rationale:<BR>
looking now to see how the system does on the stocks that it *most<BR>
actively trades*. Depending on the system, sometimes the results of<BR>
criterion 1 are distorted by many stocks with few trades. If the<BR>
system fails this test it doesn't necessarily mean it's not tradeable,<BR>
but you need to ask yourself why.<BR>
<BR>
P.S. PF is the absolute value of the ratio of the profit of winners to<BR>
loss of losers.<BR>
<BR>
</tt>
<br>
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