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Well, I guess I am still looking. I just finshed Howard's book(in
alittle over two days), and while I found it very readable, and for
the most part captivating, I found it to be lacking in terms of
information regarding metrics.
I really like the idea he presents about the objective function, but
after basically saying that this is a personal decision, no
information about why you may want to pick RAR vs CAR, or Sharpe vs
K-raio, etc, nor anything regarding what kind of values typically
are produced by a "good" system (obviously the definetion of good
will vary based on objective function...kind of a chicken or the egg
question!)
I am glad that I read the appendix, which is where there was a
sample of coding an objective function - very useful. Also all of
the info on walk forward testing and seperation of data is great (
and like all good ideas, obvious once you learn about it:)
I would definetly recommend(and already have to sevral co-workers)
his book to someone looking for methods of system validation,
particularly AmiBroker users. I am now looking for a book to help
me define my personal objective functions!
Another topic I need to research is at what point do you begin
trading a system... after all back testing/optimization/walk
forward/monte carlo is complete, or does it make more sense
to "paper trade" for a while (maybe a set number of trades, or
time)..again probably mostly a personal choice;)
--- In amibroker@xxxxxxxxxxxxxxx, Grant Noble <gruntus@xxx> wrote:
>
> Howard's book is essential for grasping the essence of why any
metric is useful or not. As for
> detailed definitions of each metric just start at the UKB and go
from there - Brian is assembling
> loads of link to useful sites.
>
> jamesfarrow2003 wrote:
> > Can anyone in this group recommend a good book which discusses
the
> > various metrics that AmiBroker computes based on backtest
results?
> >
> > Thanks,
> >
> > james
> >
> >
> > ------------------------------------
> >
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> >
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> >
> >
> >
> >
>
------------------------------------
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