|
PureBytes Links
Trading Reference Links
|
> K-Ratio is often mentioned for this purpose.
There are a couple of quicky files on K-ratio in the file section of
this forum - I took notes from Klestners book and posted them there a
while back.
>From memory the spreadsheet is exactly as written in his book but I
think there is a typo error and you have to delete the cell/row
marked in yellow.
Hold the bus though.
I don't think K-ratio is the best way to do it (it might be quick and
approximate enough for what you want). I will have to have a closer
look at K-ratio first.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> 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@> 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
> >
>
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|