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PureBytes Links
Trading Reference Links
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K-Ratio is often mentioned for this purpose.
http://trader.online.pl/TST/shape_ratio_k-ratio_rina_index.htm
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Hello,
>
> I have my system for intraday trading complete enough that I need
to
> start selecting goodness criteria for comparing variations. I
have
> selected a number of metrics to display in realtime for an n day
> backtest like:
>
> total trade count
> average bars per trade
> winning trade %
> trade bars % in green
> best trade $
> worst trade $
> average win $
> average loss $
> *total profit $
> *max draw down $
> *EDGE (average $ per trade)
> *I have a graph of the cumulative profit over time and an overlaid
> straight line plot. This is the most powerful tool, because it
lets
> me see the real character of the system. The straighter the line,
the
> less likely it is over fit to the data and represents a robust
system.
>
> I also have a graph of the trade equity on a trade by trade basis,
so
> I can see how good the entry timing is and how a trade progresses
on
> average or in outlier conditions.
>
> The * items are my key metrics for system comparison. This simple
> system runs completely in indicator mode. I test about 1000-2000
> trades over a 10 week test period.
>
> Because of the type and manner of my trades (1 futures contract
only
> traded during market hours), the data is easy to judge for
goodness.
> Since every day is an island, I could even use interesting random
day
> strategies for in and out of sample data, but so far I just use
> various sequential segments.
>
> However, when I am spinning my scroll wheel on parameters while
> looking at my charts, it would be nice to have a number that
> represents how straight the equity curve is as a first pass --
> especially for when I partially automate the optimization process
later.
>
> I thought I would just take the standard deviation of the whole
curve
> to the straight line. This is easy. But I think some of you have
> given this problem a lot of thought and I figured one of you may
have
> some additional insights into the best method for getting a
meaningful
> number for straightness/smoothness of the equity curve. So here I
put
> the question to you now with an open mind, before I become set in
my
> ways ;-)
>
> Best regards,
> Dennis Brown
>
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