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On the subject of backtesting...
Every experienced backtester knows that you can get a great system
on paper, but when you start looking at the systems that generate a
5000% profit, you realize that you would never trade them.
The report in amibroker is quite comprehensive, but I'm not entirely
sure how to use it best, particularly without exporting the results
to excel for additional processing. I've read herman's excellent
pdf article to this extent. Kudos by the way, Herman, for using the
3-d mapping - never thought of that.
However, I'd like to set up filters that will exclude chump results
from my optimization - like throwing out the system that only trades
once annually (I'd never use it) and optimizing not only for highest
profit, but lowest drawdown.
Criteria I would currently include is > 6 trades in 2 years, sharpe
ratio >1.0, and >60% winning trades. I don't see how I can access
these results from the backtester without writing them myself at
present (for the sharpe ratio) and have no idea how to optimize the
drawdown or % of winners without essentially writing in portions of
the backtester in AFL into the optimization analysis. Yes, I could
export it into excel, but isn't there a better way?
Anyone mind sharing with me how they are handling this in a
practical manner?
And Kudos to Tomasz for this program - its quite excellent and once
I get fully comfortable with it, I think it will probably allow me
to do stuff that I had a great deal of difficulty in doing before.
Thanks again for your opinions. And I am sorry if this is rehashing
old information. Just point me to the relevant threads and I will
slink away in shame...
Stephen
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