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James,
> I found it to be lacking in terms of
> information regarding metrics.
IMO Howard didn't set out to write a book on metrics.
I also believe he was constrained by size limits.
Over to the discussion:
Most of the material around only defines the maths - I don't know of
anyone I could recommend for in depth analysis of metrics - in fact
they are all pretty lame and it is a glaring omission from the
trading literature.
The only thing I could do was to figure out the pros and cons for
myself.
IMO most of them are a load of old rubbish - I am interested in root
causes and follow:
- trading as a binomial event i.e. Win/Loss +-error and Win%/Loss% +-
error, which predicts the estimated GeometricMean +- error.
EGM == arithmetic mean^2 - StDev^2 (from RalphVince - "Mathematics of
Money Management").
PowerFactor == (EGM +- StDev)^N is the driver of an equity curve
probability cone where the EGM is the reward, and the worstcase eq
curve is the risk (you choose your own risk tolerance) - it can be
annualised as %.
>From there it is over to RV and MM - everything else is second rate.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "jamesfarrow2003"
<jamesfarrow2003@xxx> 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@> 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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