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Thanks Mike,
In my simplified case it comes down to using std err instead of std dev.
Dennis
On Mar 11, 2008, at 9:56 PM, Mike wrote:
> 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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