[amibroker] Re: Your opinion - Ranking Optimisations

["Joe" <j0etr4der@xxxxxxxxx>]

--- In amibroker@xxxxxxxxxxxxxxx, "dralexchambers"
<dralexchambers@xxx> wrote:
>
> Does anyone use other Optimisation statistics to rank optimisations 
> by?
> 
> For example, instead of using raw profit gained, does anyone use 
> Win:Loss Ratio or Risk:Reward ratio - and what have been your 
> experiences.
> 
> Thanks,
> Alex
>

This is what I use:

SetSortColumns( -38 );//sort AA results on my Composite metric

SetCustomBacktestProc( "" );

if ( Status( "action" ) == actionPortfolio )
{
    bo = GetBacktesterObject();
    bo.Backtest(); // run default backtest procedure

    stats = bo.GetPerformanceStats( 0 );

    RecFactor = stats.GetValue( "RecoveryFactor" );
    RRR = stats.GetValue( "RRR" );
    KRatio10 = 10 * stats.GetValue( "KRatio" );//Put in same order of
magnitude w/Sharpe
    Sharpe = stats.GetValue( "SharpeRatio" );

//=================================================================================
    myMetric1 = RecFactor * RRR * Sharpe * KRatio10 * 10;

    bo.AddCustomMetric( "Composite", myMetric1 );
}

Joe


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