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First, MAR isn't in the standard backtest report and I was doing a
quick and dirty sort using available metrics. But how you use these
really depends on context. MAR is great for ranking. But for
analysis, MAR loses information by combining profit and dd.
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx> wrote:
> 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@xxxx [mailto:advenosa@x...]
> Sent: Monday, November 03, 2003 10:20 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] On Robustness, Post #2
>
>
>
> 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@xxxx
> Date: Mon, 03 Nov 2003 15:52:47 +0000
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] On Robustness, Post #2
>
> <<<<SNIP>>>>
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