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HELLO TIEDMJ:
The answer is not evident or simple, but has
been worked before in this forum and other places.
Several different
approaches are used and discussed to some extent in the use of IO, the Intelligent
Optiimizer developed by Fred Tonnetti.
I've used Ulcer Performance Index, Sharpe, and probably the
most popular with our local group
is CAR/MDD, giving one a handle of return over risk. With IO
you can set GOALs of a certain CAR and then
optimize CAR/MDD. Others have worked the number
of trades.
If you're interested I can give you the link to
a video of a class called Optimization 101 that addresses
some of these issues, and eventually when edited
a video on Optimization 201.
Now mind you I'm talking about EOD position
trading, with a moderate to few of trades per year.
You may very well be talking about "day" or
automated trading.
You don't have to dive in to IO but you can down
load the documentation and see if that helps
Regards
Joe
----- Original Message -----
Sent: Monday, March 20, 2006 7:58
AM
Subject: [amibroker] Re: Best backtest
report metric to evaluate and pick optimization settings
no takers on this one ? Am I the only one pondering on this
- or is
the answer simple and self evident?
regards
--- In
amibroker@xxxxxxxxxxxxxxx,
"tiedemj" <home@xxx> wrote:
>
> Ultimately, a high CAR will
give the best results overall - but
when
> constructiong trade
systems using many symbols/stocks - RAR is
also
> very valuable.
However, picking optimization values around an
> extremely high RAR
might lead to curve fitting (this situation
will
> never come
around again, as this RAR might be based on a very low
> number of
trades). So what result metrics are in your view the
best
> to pick
optimization values on in this situation. Some
suggestions:
>
> - RAR
> - Avg Profit/Loss%
> - Recovery Factor
> -
Profit Factor
> - Payoff Ratio
>
> Or one could calculate a
meassurement like:
>
> - RAR * CAR
>
> But would be
interested if somebody else has grabbled with this -
> and come to some
conclusions...
>
> Best
regards
>
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