RE: [amibroker] On Robustness, Post #2

["Howard Bandy" <howardbandy@xxxxxxxxx>]

Hi Mark –

 

I agree.  I am a strong proponent of
choosing the objective function and selection criteria before beginning the
serious testing phase.  I favor objective functions that take both
profitability and drawdown into account.  This is particularly important
for small portfolios – small both in dollar amount and in number of
simultaneous open trades.

 

Howard

 



-----Original Message-----
From: advenosa@xxxxxxxxxxxx
[mailto:advenosa@xxxxxxxxxxxx] 
Sent: Monday, November 03, 2003 10:20
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] On
Robustness, Post #2

 

<font size=2
face="Courier New">Mark:<font
size=2>

I
may be jumping the gun somewhat with this question, and if I am, correct,<font
size=2>
me,
but I was wondering why you choose PF as your primary evaluation<font
size=2>
criterion
(as opposed to, for example, MAR, which takes into consideration<font
size=2>
both
profit and dd at the same time)? <span
>

Al
Venosa 

Original
Message:
-----------------<font
size=2>
From:
quanttrader714 quanttrader714@xxxxxxxxx<span
>
Date:
Mon, 03 Nov 2003 15:52:47 +0000<span
>
To:
amibroker@xxxxxxxxxxxxxxx<span
>
Subject:
[amibroker] On Robustness, Post #2<span
>

<<<<SNIP>>>> 












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