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Hi Alex --
Although net profit is often the default metric by which alternatives are ranked, it is one of the poorest metrics to use.
Try using any of the metrics that reward equity growth while penalizing drawdown. These include: KRatio, RRR, UPI, CAR/MDD, RAR/MDD, Recovery Ratio. If one of these does not work for you, it is easy to create your own (Joe's example shows the technique) and instruct AmiBroker to both report it and to use it as The objective function for selecting the best alternative when performing walk forward analysis.
Thanks,
Howard
www.quantitativetradingsystems.com
On Fri, Mar 14, 2008 at 8:00 AM, dralexchambers < dralexchambers@xxxxxxxxx> 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
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