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Hi Dennis --
There are several metrics already built in to AmiBroker that measure both the steepness and smoothness of the equity curve. Try generating a few test runs, plot their equity curves, note the values of these metrics, and see which ones best fit your trading personality. A nice advantage to using these is that they usually tend to select trading systems that test well out-of-sample, so are appropriate for use with the Walk-Forward technique now also built in to AmiBroker.
KRatio
CAR/MDD
RAR/MDD
RRR
RecoveryFactor
UlcerPerformanceIndex
Thanks,
Howard
On Tue, Mar 11, 2008 at 6:06 PM, Dennis Brown < see3d@xxxxxxxxxxx> 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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