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Thanks Joe - very helpful information. Both from you and other
people who have answered. Some good directions to follow. Would very
much like the link to the video on optimization 101. If you can't
post it here, pls mail the link to jens@xxxxxxxxxxxx
regards
Jens
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxx> wrote:
>
> 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 -----
> From: tiedemj
> To: amibroker@xxxxxxxxxxxxxxx
> 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@> 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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