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Dennis,
You are explaining some nuances of evaluation that I haven't
considered before - I have to think it over (there is a lot of
content in this thread so that applies to some of the other posts as
well).
> PS. AmiBroker is a Godsend to many, because it lets them test out
>a
> bunch of bad ideas without losing all their money finding out the
> truth. That is also one of the reasons I like to program all the
> trading aspects of my systems myself. If I just use a black box, I
>do
> not really internalize the trading details that are so important
to
> know when real trading starts up. It must become second nature in
> understanding for me.
100% agree there - thats why I did my own thing on evaluation and
then parked it - I took ownership of the ideas I needed and didn't
feel the need to write it up for a journal.
As before - I am not going to ignore what you are teasing out for me
to see - I'm not getting it yet but I will when I cellotape all of
your posts together.
thanks for taking the time out to explain your take.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>
> Brian,
>
> Right! when multiplied by the Ave% Win and Loss, the product
comes
> out to be a narrow range (for an otherwise optimized system). The
> higher Win% systems have a longer trade frequency, thus larger
wins
> and drawdowns. I look in the 10 to 30 minute average time per
trade.
>
> The world of trading has an infinite number of possibilities.
> However, I am a simple minded person, so I have to simplify my
range
> of options to be successful. KISS is my motto.
>
> I can also succumb to analysis paralysis very easily, so I have to
> apply my other motto to myself routinely: Time to shoot the
engineers
> and put it into production.
>
> ~Dennis
>
> PS. AmiBroker is a Godsend to many, because it lets them test out
a
> bunch of bad ideas without losing all their money finding out the
> truth. That is also one of the reasons I like to program all the
> trading aspects of my systems myself. If I just use a black box, I
do
> not really internalize the trading details that are so important
to
> know when real trading starts up. It must become second nature in
> understanding for me.
>
>
> On Mar 13, 2008, at 9:49 PM, brian_z111 wrote:
>
> >> However, the best systems are in the 45% to 55% range so far.
What
> >> does that tell you?
> >
> > I think you will understand that I have to act from my current
biases
> > but that I am also capable of change - keeping that in mind.
> >
> > It is meaningless without the frequency distribution of the sample
> > (it doesn't have to be a normal dist, since the central limit
theorem
> > predicts it will move towards normal behaviour anyway) i.e. W/L
> > without ave%w/ave%L doesn't tell us as much about outcomes as it
does
> > when combined, let alone simulated.
> >
> > brian_z
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@> wrote:
> >>
> >> Paul,
> >>
> >> Like you said, I always assume that if I start trading a new
> > system
> >> that the first thing I will experience is the worst case drawdown
> > that
> >> will shake my confidence in it. I have to ask myself how I would
> > feel
> >> after a few days of this, and would I continue, or start to
> > question
> >> my system development methods and drop out just when the system
> > turns
> >> around. This psychology happens to traders and investors all the
> >> time, and is one of the main causes of losses.
> >>
> >> Brian,
> >>
> >> I have put together a lot of systems recently, looking for the
> > most
> >> robust ones. I have profitable systems with a Win% ranging from
> > 30%
> >> to 80%. The higher the Win%, the larger the drawdowns. No free
> >> lunch. However, the best systems are in the 45% to 55% range so
> > far.
> >> What does that tell you?
> >>
> >> Best regards,
> >> Dennis
> >>
> >> On Mar 13, 2008, at 8:27 PM, Paul Ho wrote:
> >>
> >>> Before One can look at OOS, Once needs to have a system or
> > several
> >>> systems Candidate and so you still need to have metrics to
> > evaluate
> >>> what basically is forward looking performance estimates.
> > Besides,
> >>> just because OOS says it is fine, it doesnt mean it will
> > continue
> >>> into the future. And you are still more prone to start off at
> > the
> >>> flat spot of the equity curve if you have a system that have
> > more
> >>> deviation from a straightness of an equity curve regardless of
> > how
> >>> much OOS you have done.
> >>>
> >>> Your other statements seems more like motherhood statements than
> >>> looking for the mother ship to me.
> >>> From: amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> >>> On Behalf Of brian_z111
> >>> Sent: Friday, 14 March 2008 11:03 AM
> >>> To: amibroker@xxxxxxxxxxxxxxx
> >>> Subject: [amibroker] Re: What is best statistic for straightness
> > of
> >>> equity curve?
> >>>
> >>> I agree with Howard's (past) comments that the best metric is
the
> > OOS
> >>> metric (that is for those who have used optimization to design
the
> >>> system) or better still, several OOS metrics (if we have the
> > data).
> >>>
> >>> The speculative (at this stage) point that I am introducing into
> > the
> >>> discussion is that foward looking performance can be estimated
> > from
> >>> the root causes (mechanics of the trading system).
> >>>
> >>> By continually focussing on the unknown future we are chasing
> >>> phantasms. While we try to catch one others are popping up
> > everywhere
> >>> (just like a horror movie).
> >>>
> >>> Better off to find the mother ship, and understand the spawning
> >>> process, if we are to have any hope of dealing with the
offspring.
> >>>
> >>> brian_z
> >>>
> >>> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@> wrote:
> >>>>
> >>>> This particular shortcoming of Sharpe ratio as mentioned by
> > Howard
> >>> has been
> >>>> well flaged by many books. and It make sense when one is
> > comparing
> >>> PAST
> >>>> performance from one fund manger to another, or from one system
> > to
> >>> another.
> >>>> However, when one is comparing forward looking performance,
> > such as
> >>> when one
> >>>> is developing new systems or evaulating new variations of an
> >>> existing
> >>>> system. Then IMHO this criticism is a little unjustified.
> > Reason:
> >>> If there
> >>>> are an equity curve in front of me, one that is with a
> > occasional
> >>> surge of
> >>>> profit (positive deviation) followed by a relatively flat
> > patch. I
> >>> wouldn't
> >>>> know with a lot of confidence I'm go to experience a flat patch
> > or
> >>>> continuing surge if I trade this system in the future. I have
> > seen
> >>> a number
> >>>> of systems that have a very quick rise in patches during
> > backtest
> >>> and
> >>>> optimisation, but basically flat during forward testing. If I
> > have
> >>> a choice,
> >>>> I would prefer a lower return but with less deviation (both
> >>> positive and
> >>>> negative) when I'm developing new system because I'm more
> > confident
> >>> that it
> >>>> will generate a regular profit for me. I must confess I am a
> > short
> >>> term
> >>>> trader, my trades last for hours to days. I can apprecriate
that
> >>> long term
> >>>> traders, those with trades lasting weeks to years, might have a
> >>> different
> >>>> psychology and can withstand large period of flat patches to
> > wait
> >>> for the
> >>>> big one. Of course, once I have started using a system, I'm all
> > for
> >>> positive
> >>>> surprises.
> >>>> I personally think the biggest drawback of Sharpe ratio lies
> > with
> >>> the fact
> >>>> that the straightness of an equity curve cannot be adequately
> >>> described by a
> >>>> single Sharpe Ratio, because vastly different equity curves
> > shares
> >>> similar
> >>>> ratio numbers. A series of Sharpe Ratios measured periodically
> > is a
> >>> better
> >>>> guide. Tuschar Chande even went as far as suggesting measuring
> >>> a "Sharpe
> >>>> Ratio" over the series of Sharpe Ratio, I think this has merit.
> >>>>
> >>>>
> >>>> _____
> >>>>
> >>>> From: amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx]
> >>> On Behalf
> >>>> Of Dennis Brown
> >>>> Sent: Friday, 14 March 2008 4:46 AM
> >>>> To: amibroker@xxxxxxxxxxxxxxx
> >>>> Subject: Re: [amibroker] Re: What is best statistic for
> >>> straightness of
> >>>> equity curve?
> >>>>
> >>>>
> >>>>
> >>>> Howard,
> >>>>
> >>>>
> >>>> You make an excellent point. The metrics used to evaluate a
> > system
> >>> needs to
> >>>> take into consideration the normal "character" of the trading
> >>> systems basic
> >>>> methodology.
> >>>>
> >>>> For instance my system takes small profits and losses many
> > times a
> >>> day. It
> >>>> is not biased for long or short. It does not hold overnight, It
> >>> only trades
> >>>> broad market futures. It does not compound equity. It is
> > goodness
> >>> be able
> >>>> to take a consistent draw from a fixed account size.
> >>>>
> >>>> This means that my system will be subject to very different
> > market
> >>> forces
> >>>> than a system that swing trades stocks for a week or two, and
is
> >>> subject to
> >>>> overnight gaps, company earnings announcements, dividends,
> > interest
> >>> rates
> >>>> (on margin accounts), and other unpredictable events.
> >>>>
> >>>> My system will perform with a much smoother equity curve just
> >>> because of the
> >>>> way it is defined. Commissions and Bid/Ask spreads are the main
> >>> hurdles to
> >>>> profitability, but they are constants.
> >>>>
> >>>> I have a much easier time telling if my system is robust.
> >>>>
> >>>> Best regards,
> >>>> Dennis
> >>>>
> >>>>
> >>>> On Mar 13, 2008, at 1:01 PM, Howard B wrote:
> >>>>
> >>>>
> >>>>
> >>>> Greetings all --
> >>>>
> >>>> Professional money managers are sometimes evaluated based on
the
> >>> Sharpe
> >>>> Ratio of their performance, so it has some value. But, in my
> >>> research, I
> >>>> have not found Sharpe Ratio to be a very good metric for use
> > when
> >>> developing
> >>>> systems. Yes, higher Sharpe Ratios will have smaller standard
> >>> deviations
> >>>> than lower Sharpe Ratios, but the standard deviation includes
> > both
> >>> positive
> >>>> and negative deviations. That is, it penalizes both positive
and
> >>> negative
> >>>> performance. If you are designing trend following systems with
> >>> long holding
> >>>> periods, and looking for the infrequent large gains associated
> > with
> >>> this
> >>>> type of system, Sharpe Ratio penalizes these. When Sharpe Ratio
> > is
> >>> used as
> >>>> the objective function in an automated walk forward process,
> > systems
> >>>> selected as the best in-sample often perform much less well
out-
> > of-
> >>> sample
> >>>> than systems selected using K-Ratio, RRR, CAR/MDD, or UPI.
> >>>>
> >>>> Thanks for listening,
> >>>> Howard
> >>>>
> >>>>
> >>>>
> >>>> On Wed, Mar 12, 2008 at 10:33 PM, Paul Ho <paultsho@xxxxxx
> >>>> <mailto:paultsho@> com.au> wrote:
> >>>>
> >>>>
> >>>>
> >>>>
> >>>> Time doesnt permit me to write a long post. But I think Jack
> >>> Schwager in one
> >>>> of his books povides a very good description of what You want.
> >>> Tuschar
> >>>> Chande also has insights.
> >>>> One such parameter is the Sharpe ratio, but you need use it
> > slightly
> >>>> differently. Firstly, take risk free return as zero, and you
are
> >>> obtaining
> >>>> the ratio of mean return to std deviation. Secondly, calculated
> >>> yearly
> >>>> sharpe ratios and compare them from year to year.
> >>>>
> >>>>
> >>>> _____
> >>>>
> >>>> From: amibroker@xxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> > ps.com
> >>>> [mailto:amibroker@xxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> >>> ps.com] On
> >>>> Behalf OfDennis Brown
> >>>> Sent: Thursday, 13 March 2008 12:24 PM
> >>>> To: amibroker@xxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> > ps.com
> >>>> Subject: Re: [amibroker] Re: What is best statistic for
> >>> straightness of
> >>>> equity curve?
> >>>>
> >>>>
> >>>>
> >>>> Brian,
> >>>>
> >>>> Thanks for your reply.
> >>>>
> >>>> My thinking is that the Std Error will work. I do not need to
> > use a
> >>>> Log function on my equity curve, because I do not compound my
> >>> results,
> >>>> so they are linear. I also base my work on constant range bars,
> > so
> >>>> that linearizes the curves even more. Profit potential can only
> >>> come
> >>>> from price movement. The smoothest and straightest equity
curves
> >>> come
> >>>> from the most robust systems. Period. You can look at the curve
> > and
> >>>> judge it, or find a number that is associated with this
> > property.
> >>>>
> >>>> However, step functions get introduced into your nice trading
> >>> system
> >>>> from big news events that change the character of the markets
> >>>> overnight, or in a minute during the day. I consider these
> > things
> >>>> that produce large quick drawdowns will be captured by a
Maximum
> >>>> Drawdown metric. The test period needs to have some of these
big
> >>>> events in it. The event may be too quick to affect a large
> >>>> statistical function much, giving a false sense of goodness to
> > the
> >>>> system. Or the perturbation might show up in a way that takes a
> >>> great
> >>>> system and makes the smoothness number look bad due to a one
> > time
> >>>> event. That is the challenge with a single number, so I will
> > have
> >>> to
> >>>> experiment with the right weightings.
> >>>>
> >>>> That is why I say that the absolute judgement comes from
> >>> examination
> >>>> of the equity curve. The goodness numbers are just for ease of
> >>>> relative comparisons of automated parameter optimization for
> >>> candidate
> >>>> systems. It is also nice to have a number or two as a future
> > point
> >>> of
> >>>> reference rather than going back over equity curves for every
> >>>> comparison.
> >>>>
> >>>> Perhaps an FFT over the equity curve would generate an
> > interesting
> >>>> signature in the period of the dominant frequency and I also
> > need
> >>> the
> >>>> amplitude. I would have to look into this more, since I have
not
> >>>> tried this before.
> >>>>
> >>>> I will start out simple and see how better numbers compare to
> > the
> >>>> curves, then decide where to go from there.
> >>>>
> >>>>> (Why don't you just start posting some of your bits and
> > pieces,
> >>> like
> >>>>> your new PlotShapes PDF, to the UKB - it is a live site - we
> > don't
> >>>>> have to wait for the big bang moment to become an author - a
> > lot
> >>> of
> >>>>> my stuff is mundane and/or half finished, but it still has its
> >>> uses).
> >>>>
> >>>> I am buried in work right now, so I wanted to gauge the value
to
> >>>> others of some of the things I could post on the UKB. I would
> > have
> >>> to
> >>>> fight for the time to figure out how to post and fiddle with
> > with
> >>>> formatting issues etc. If it were as easy as sending a PDF
email
> >>>> attachment here, I would have done it a month ago. It is the up
> >>> front
> >>>> time investment that is holding me back right now.
> >>>>
> >>>> When I get little feedback or interest from a post, I can't
> >>> prioritize
> >>>> the time to share more of what I am doing. If I were not so
> > busy, I
> >>>> would do it anyway, but for now I need powerful justification
to
> >>> delay
> >>>> some other important work to make time for it. This is not a
> > spare
> >>>> time hobby for me, because I have no spare time right now. :-(
> >>>>
> >>>> I could use a teammate to get me through the initial stages.
> >>> However,
> >>>> I see that only a few have ventured as far as posting yet, so
> > the
> >>>> field is limited. I do all my content creation on a Mac, and
> > keep
> >>> my
> >>>> virtual PC free of everything but AmiBroker and related support
> >>>> programs. That is why I prefer to generate PDF content as it
> > works
> >>>> everywhere. And I have exceptionally easy to use and powerful
> > tools
> >>>> for generating them already.
> >>>>
> >>>> Best regards,
> >>>> Dennis Brown
> >>>>
> >>>> On Mar 12, 2008, at 7:19 PM, brian_z111 wrote:
> >>>>
> >>>>> Dennis,
> >>>>>
> >>>>> So where is your thinking on this now?
> >>>>>
> >>>>>
> >>>>> (I have been following and I am building to some possible
> > input
> >>> but
> >>>>> since I don't understand logs and barely understand standard
> >>> error I
> >>>>> have had to go back to school - it takes quite a while for me
> > to
> >>> get
> >>>>> my head around that stuff and interpret it into trade talk).
> >>>>>
> >>>>> I have taken a different approach to evaluation (which is
> > still a
> >>>>> work in progress) and based on that I am inclined to the view
> > that
> >>>>> evaluations on one equity curve are on rather weak ground -
> > IMO
> >>>>> simulation is required for analysis of 'what counts most'.
> >>>>>
> >>>>> Also I am zeroing in on the root causes of equity curve
> > profiles
> >>> and
> >>>>> measuring smoothness of a curve is measuring the effect.
> >>>>>
> >>>>> BTW - your pane based analysis is very interesting but I think
> >>>>> ultimately it might prove to have some limitations for good
> >>>>> evaluation (but not if we correctly identify root causes - we
> > can
> >>>>> just pick them out, add some mathematical antecedents and
> > then we
> >>>>> will now the answers that simulation will give us and not
> > need to
> >>>>> bother the processor - I have convinced myself that this is
> > in my
> >>>>> grasps and later I hope the maths people will connect my
> >>> conceptual
> >>>>> does and bingo, we are there).
> >>>>>
> >>>>> However, I love your question and approach, so over to your
> >>> immediate
> >>>>> problem (I had it in mind to go to town on an equity curve
> >>> smoothness
> >>>>> metric anyway).
> >>>>>
> >>>>> K-ratio is actually a risk reward metric (is that what you
> > want)?
> >>>>>
> >>>>> It also (to me) gets a little mysterious in its workings
> > (Klestner
> >>>>> doesn't fully explain one part of it - not from my, lay,
> > point of
> >>>>> view anyway).
> >>>>>
> >>>>> I am still thinking about it.
> >>>>>
> >>>>> So far I would say StDev is out.
> >>>>> StandardError will do exactly what you say you want to do (as
> > far
> >>> as
> >>>>> I can tell - once again the stats teachers seem to find it
> > hard to
> >>>>> put it into trade talk - I see it explained in different ways
> > in
> >>>>> different books).
> >>>>>
> >>>>> I haven't reached a final conclusion but it seems most likely
> >>> that if
> >>>>> you use Standard Error on a compounded equity curve with the
> > LogN
> >>>>> approach taken by Klestner you are there - no need to go past
> >>> that -
> >>>>> my reservation is based on the fact that I am not sure how to
> >>> handle
> >>>>> standardisation - I only work in relative % change - Klestner
> >>>>> attempts to standardise the K-ratio - he had some trouble
> > with it
> >>> to
> >>>>> start out and had to add a standardising factor.
> >>>>>
> >>>>>> 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.
> >>>>>
> >>>>> Yes, all of my evaluation methods are home made, or adaptions
> > of
> >>>>> popular methods - works for me.
> >>>>>
> >>>>> As I said - if you want all of your evaluation in one window
> > you
> >>>>> might need a math formula to sum up the transition from root
> >>> cause to
> >>>>> simulation (I naively believe I have the beginning and end in
> > the
> >>> bag
> >>>>> and conceptually the middle formula seems attainable).
> >>>>>
> >>>>> (Why don't you just start posting some of your bits and
> > pieces,
> >>> like
> >>>>> your new PlotShapes PDF, to the UKB - it is a live site - we
> > don't
> >>>>> have to wait for the big bang moment to become an author - a
> > lot
> >>> of
> >>>>> my stuff is mundane and/or half finished, but it still has its
> >>> uses).
> >>>>>
> >>>>> brian_z
> >>>>>
> >>>>>
> >>>>> --- In amibroker@xxxxxxxxx <mailto:amibroker%
> > 40yahoogroups.com>
> >>> ps.com,
> >>>> Dennis Brown <see3d@> wrote:
> >>>>>>
> >>>>>> 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@>
> >>>>>>> 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.amibroke <http://www.amibroker.com/devlog/>
> >>> r.com/devlog/
> >>>>>
> >>>>> For other support material please check also:
> >>>>> http://www.amibroke <http://www.amibroker.com/support.html>
> >>>> r.com/support.html
> >>>>>
> >>>>> Yahoo! Groups Links
> >>>>>
> >>>>>
> >>>>>
> >>>>
> >>>
> >>>
> >>>
> >>
> >
> >
> >
> > ------------------------------------
> >
> > 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
> >
> >
> >
>
------------------------------------
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
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