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To answer your last question:
You begin trading a system as soon as you feel confident that it has a
true edge with an acceptable return. How you gain that confidence is
a personal choice. You must be confident in it, or you will not
follow it when you have a drawdown. I carefully examine the equity
curve for a consistent edge in changing market conditions. Then I
trade the system with real money (but small positions) for a while to
make sure that the actual performance matches with the simulated
performance. Then, I commit full capital to it. I examine each
drawdown to make sure that it is within the parameters of the
testing. If not, I look for weakness in my original analyses, or
changing market conditions not previously seen. Systems will have to
adapt over time.
Best regards,
Dennis
On Apr 12, 2008, at 7:57 AM, jamesfarrow2003 wrote:
> 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
>>>
>>>
>>> ------------------------------------
>>>
>>> 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:
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>>>
>>> For other support material please check also:
>>> http://www.amibroker.com/support.html
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>>>
>>>
>>>
>>>
>>
>
>
>
> ------------------------------------
>
> 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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