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[amibroker] Re: I need your thoughts on an Optimisation issue



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Hi

would you "Param" method work if you were testing a system out on
multiple stocks?  If so... how?

Thanks,

Joel


--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Herman,
> 
> I agree with your method, and that is precisely how I do it.  I  
> actually have a "gold" colored equity plot that I can turn on an off  
> on right on top of my main chart.
> 
> It is also easy to see what the ideal curve would be, just use a look  
> ahead (ZigZag, centered MA, etc.) indicator for buy/sell and dream of  
> the day when you can look ahead one minute into the future.  LOL
> 
> Dennis
> 
> On Jun 9, 2007, at 12:48 AM, Herman wrote:
> 
> > this is jmo but if you have enough trades and you don't have too  
> > many Opt variables, by far the easiest way to optimize is to use  
> > visual optimizations.
> >
> >
> >
> > We do this by running the system in an Indicator and plot the  
> > equity. Substitute the Optimize() with a Param() and simply drag  
> > the Param slider left and right. This is a hundreds times faster  
> > than optimizing and you'll automatically reject over-optimization  
> > because these conditions don't last over many consecutive opt  
> > values. You can also immediately see how optimum values for one  
> > ticker apply to other tickers simply by clicking on the tickers in  
> > your work space. This, btw, gives you a real good impression on how  
> > robust (market wise) your system is. You can also immediately pick  
> > up on any system bias towards stock price, sectors, markets, time  
> > periods, Long vs Short, etc. And all that is minutes...
> >
> >
> >
> > I find the visual feedback is very effective, catches a lot more  
> > invalid/over-optimized results, and splits etc. Performance is  
> > immediately obvious from the equity chart. Not only that, if your  
> > equity jumps up/down you can immediately zoom in on the event and  
> > analyze that happened.
> >
> >
> >
> > I like it simple
> > <smile.gif>
> >  less surprise that way.
> >
> >
> >
> > herman
> >
> >
> >
> >
> >
> >
> >
> > Saturday, June 9, 2007, 11:48:15 AM, you wrote:
> >
> >
> >
> > > The linearity of the equity curve is probably one of the best  
> > measures
> >
> > > of predictable future performance, if you have enough data  
> > samples.  I
> >
> > > believe one way to check for the linearity of the equity curve is  
> > the
> >
> > > standard error provided in the optimization table and backtest
> >
> > > report. I'd like to know what the precise definition of this  
> > standard
> >
> > > error criteria is, by the way.
> >
> >
> >
> > > The data I am working with is 1-minute bars, but part of it was
> >
> > > collected some time ago when IB was not providing after-market data
> >
> > > (last fall?), so my bars per day is not uniform, and therefore
> >
> > > the equity line will have a lower slope in recent months, so my
> >
> > > standard error measure is higher than it would be with uniform data.
> >
> >
> >
> > > Consequently, I've been experimenting with a variation that  
> > allows the
> >
> > > trades to be less uniformly distributed over time, but I want the
> >
> > > profit per trade average to be consistent.  I average the profits  
> > from
> >
> > > the last 50 trades, for example, and compute the linearity of that
> >
> > > instead of the equity curve.
> >
> >
> >
> > > For both of these, we don't just want a straight equity line - it
> >
> > > should be a straight line that rises, so we really want a  
> > combination
> >
> > > of the net profit and this linearity measure, and one way of  
> > computing
> >
> > > that is netProfit / stdErr.
> >
> >
> >
> > > There is a lot more to this.  Some other factors to consider are how
> >
> > > much of your equity you are risking with each trade, how long it is
> >
> > > tied up not doing something else, and the magnitude of your  
> > potential
> >
> > > loss.
> >
> >
> >
> > > Daniel LaLiberte
> >
> > > liberte@xxx
> >
> >
> >
> > > On Monday 04 June 2007 03:00 pm, Dennis Brown wrote:
> >
> > >> Alex,
> >
> >
> >
> > >> What you might be looking for is how straight the equity curve  
> > is.  I
> >
> > >> have not tried this yet in automatic mode, but when I plot the  
> > equity
> >
> > >> curve I look for the gain and how straight the curve is.  As a  
> > single
> >
> > >> number, that would likely be the correlation to a straight line
> >
> > >> between the start and ending equity values.   That way you are not
> >
> > >> fooled by a single rare event.
> >
> >
> >
> > >> Dennis
> >
> >
> >
> > >> On Jun 4, 2007, at 2:50 PM, dralexchambers wrote:
> >
> > >> > I am currently testing and optimising a trading system over 1  
> > year of
> >
> > >> > data, and sorting the results by Gross Profit Made.
> >
> > >> >
> >
> > >> > What I am finding is that by sorting the results by Gross Profit
> >
> > >> > Made, the system has long periods of small losses then one big  
> > gain.
> >
> > >> > Although over a year this provides a good return, drawdowns in  
> > the
> >
> > >> > interim are bad - and I am looking for regular cashflow with  
> > lower
> >
> > >> > drawdowns rather than the largest gain made over a year.
> >
> > >> >
> >
> > >> > Can anyone think of a way to optimise results for maximal cash- 
> > flow
> >
> > >> > each month rather than Gross Profit Made in a year? Is there a
> >
> > >> > mathematical formula I can use?
> >
> > >> >
> >
> > >> > I tried using a average of x bars, but this still doesn't  
> > solve the
> >
> > >> > problem, eg:
> >
> > >> >
> >
> > >> > Week 1: -$40
> >
> > >> > Week 2: -$40
> >
> > >> > Week 3: $8000
> >
> > >> >
> >
> > >> > whereas I would like more:
> >
> > >> >
> >
> > >> > Week 1: $900
> >
> > >> > Week 2: $1500
> >
> > >> > Week 3: $2000
> >
> > >> >
> >
> > >> > (this is a very simplified example but illustrates what I am  
> > after).
> >
> > >> >
> >
> > >> > Many thanks,
> >
> > >> > Alex
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > > Please note that this group is for discussion between users only.
> >
> >
> >
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> >
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> >
> >
> >
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> >
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> >
> > >
> >
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> > 
> > <smile.gif>
>




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