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Good hints, Herman! In addition, I included two lines in my Portfolio.afl:
RelPerf=eq/C;
if(ParamToggle("Show Rel.Perf Equity", "No|Yes",0)) Plot(RelPerf, "Rel.Perf.",
colorBlack,styleThick|styleOwnScale);
This line makes it very easy to recognise in which market situations your
system under- or overperforms and to spot its weaknesses . Just one
additional tool for the visual evaluation.
Thomas
> 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 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@xxxxxxxxxxxxx
> >
> > 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.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
>
>
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