Friday, March 14, 2008, 12:59:14 AM, you wrote:
> 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