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Portfolio equities hide a lot of stuff and I don't like them to 'evaluate' new systems.
You'll do better to place your system in a WatchList loop and display all individual equities.
As a rough indicator you can use the AddToComposite to sum all equities and produce somewhat like an portfolio equity. I usually make this a thick white line to make it stand out from the individual equities.
herman
Sunday, June 10, 2007, 2:02:33 AM, you wrote:
> 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.
>> 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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>> >
>> > <smile.gif>
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