[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] What is best statistic for straightness of equity curve?



PureBytes Links

Trading Reference Links

Howard,

Thanks for the input.  I will investigate these some more.

However, I do not use the built-in equity functions, or any of the built-in trading functions.  Tomasz has done a wonderful job with these, but they do not fit well with what I am doing with my trading.  I find it easier to understand what I am getting if I write everything myself just for my situation and not the general case.  

Everything I do is in indicator mode in realtime.  I build all my metrics into my AFL.  My charts and numbers always match and all my settings are stored in my Flexible Parameters scheme for different test systems. It is a little different approach, but that is one of the beauties of AB --that it allows a lot of flexibility of doing your own thing if you don't want to use the built-in ways.

Sometimes, you have to march to the beat of a different drummer to make money in these markets.

Thanks again,
Dennis Brown


On Mar 12, 2008, at 1:38 PM, Howard B wrote:

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



__._,_.___

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




Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___