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Greetings --
There is a metric built into AmiBroker that might be what you want. "AllAvgProfitLossPercent" is the average percentage gain or loss of all trades made in the run. It is the same as Expectancy. The TRW (Terminal Relative Wealth) of the account can be computed as (1+p)^n, where p is Expectancy and n is Number of trades. Unfortunately, using TRW by itself as the objective function often leads to systems that have drawdowns that are undesirably high.
Instead, you might try using RRR, K-Ratio, CAR/MDD, RAR/MDD, or UPI as your objective function. All of those reward equity growth and penalize drawdown, and generally result in more robust systems.
Thanks,
Howard
www.quantitativetradingsystems.com
On Sat, Mar 1, 2008 at 12:16 PM, Sidney Kaiser < skbiker@xxxxxxxxx> wrote:
Hi Guys, I am doing some optimization on a system and ran into a small problem. If I am optimizing with a minimum volume parameter I get many more trades with a small volume required and fewer trades with greater volume required. More trades yield a higher profit, but at the expense of many more trades and positions than desired, even accounting for comm and slippage.
What I think I would like to see is something like profitability per trade. ie: Bang for the buck, a buck being defined as a trade. Does this sort of thing make sense and does anyone have any suggestions for a metric that accounts for something like this?
Cheers SId
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