Re: [amibroker] Re: Expectancy - and related--specifically K-rato, AmiBroker Email List Archive

2008/4/16, brian_z111 <brian_z111@xxxxxxxxx>:

Not 2007 and I don't know if they are good or not.

Some I bookmarked after a search a way back.

It's a start.

http://www.tushar-mehta.com/excel/charts/normal_distribution/
http://www.improveyourexcel.com/excel/Charts.cfm
http://www.mrexcel.com/

brian_z

--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> BTW, I am really illetrate concerning Excel 2007. Anyone know any
> good tutorial
> so I can make graphics with the data I collected from the
optimization?
>
> Right now I am trying to recopy the test Howard did in his book on
> seasonality, and so far I am unable to do a simple graph...
>
> Thanks,
>
> Louis
>
>
> 2008/4/16, Louis Préfontaine <rockprog80@xxx>:
> >
> > Thanks Tomasz!
> >
> >
> > 2008/4/16, Tomasz Janeczko <groups@xxx>:
> > >
> > > > So.. If we consider that walk-forwarding would eliminate
all
> > > curve-fitting, then what do you consider to be the best
variable to
> > > walk-forward? RAR, CAR, Net profit%?
> > > The best is your custom metric that fits your trading style.
> > > As far as "generic", most simple and built-in metrics are
considered I
> > > would opt for CAR/MDD or RAR/MDD
> > > General rule is that your metrics should always include drawdown
> > > (risk) measure (in addition to profit measure).
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > >
> > > ----- Original Message -----
> > > *From:* Louis Préfontaine <rockprog80@xxx>
> > > *To:* amibroker@xxxxxxxxxxxxxxx
> > > *Sent:* Wednesday, April 16, 2008 6:31 PM
> > > *Subject:* Re: [amibroker] Re: Expectancy - and related--
specifically
> > > K-rato
> > >
> > > Hi,
> > >
> > > Thanks for your answers. I am reading Howard's book right now
(approx.
> > > half the book remaining) and my concern is really for walk-
forward as it
> > > seems better than simple optimizing.
> > >
> > > In AB 5.08 I can choose the variables to optimize. I tend to
like
> > > k-ratio because it shows consistency in the results; however
the best
> > > k-ratios are almost never the best net profit or CAR%. What I
have read is
> > > here: http://www.addictfx.biz/15-categorie-90719.html (It's in
> > > french... sorry for those who can't read french).
> > >
> > > So.. If we consider that walk-forwarding would eliminate all
> > > curve-fitting, then what do you consider to be the best
variable to
> > > walk-forward? RAR, CAR, Net profit%?
> > >
> > > Thanks,
> > >
> > > Louis
> > >
> > >
> > > 2008/4/16, Tomasz Janeczko <groups@xxx>:
> > > >
> > > > "I've read somewhere" - well the world (and Internet
specifically)
> > > > is full of misinformation.
> > > > You really need to read Howard's book. Regular optimization
is NOT the
> > > > same as walk forward.
> > > > Walk Forward process actually prevents/minimises curve
fitting.
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > >
> > > > ----- Original Message -----
> > > > *From:* Louis Préfontaine <rockprog80@xxx>
> > > > *To:* amibroker@xxxxxxxxxxxxxxx
> > > > *Sent:* Wednesday, April 16, 2008 5:39 PM
> > > > *Subject:* Re: [amibroker] Re: Expectancy - and related--
specifically
> > > > K-rato
> > > >
> > > > Hi,
> > > >
> > > > I've read somewhere that optimizing (or walk-forwarding) using
> > > > measures as k-ratio, RRR or max drawdown can lead to curve-
fitting and is
> > > > not a good strategy. Do you agree?
> > > >
> > > > What do you think is the best optimizing strategy?
> > > >
> > > > Thanks,
> > > >
> > > > Louis
> > > >
> > > > 2008/4/13, gerryjoz <geraldj@xxx>:

> > > > >
> > > > > Grant,
> > > > > in your post you asked me to elaborate on why i thought the
K-ratio
> > > > > was a waste of space and RRR was simpler/better. What i
have found
> > > > > is
> > > > > that k-ratio is generally lower the higher the exposure for
the same
> > > > > or similar trading systems in back test. If you want a high
k-ratio,
> > > > > according to the AB calc, don't buy or sell!
> > > > > Here is a contrived (curve-fit) example (run on real data)
over a
> > > > > few
> > > > > years
> > > > > CAR 33%
> > > > > Profit factor 7
> > > > > CAR/MDD 2.8
> > > > > Max Sys DD % 11.5%
> > > > > RRR 2.15
> > > > > K-ratio .096
> > > > > exposure 49%
> > > > > #trades 170
> > > > >
> > > > > the K-ratio definitio in AB help is
> > > > > "
> > > > > K-Ratio - Detects inconsistency in returns. Should be 1.0
or more.
> > > > > The
> > > > > higher K ratio is the more consistent return you may expect
from the
> > > > >
> > > > > system. Linear regression slope of equity line multiplied
by square
> > > > > root of sum of squared deviations of bar number divided by
standard
> > > > > error of equity line multiplied by square root of number of
bars.
> > > > > More
> > > > > information: Stocks & Commodities V14:3 (115-118):
Measuring System
> > > > > Performance by Lars N. Kestner
> > > > > "
> > > > > personally i prefer measures which are more easily
comprehended.
> > > > > This
> > > > > one isn't, even tho 40 years ago i did do maths & stats at
uni.
> > > > > In any case, back in May 2004 Tomasz changed the calc...
> > > > > ======>
> > > > >
> > > > > K-ratio calculation changed. following the change made by
its
> > > > > creator,
> > > > > Mr. Lars Kestner.
> > > > >
> > > > > Quoting from the book "Quantitative Trading Strategies"
from 2003 by
> > > > > Lars Kestner:
> > > > >
> > > > > [ - - - ]
> > > > > " The K-ratio is a unitless measure of performance that can
be
> > > > > compared across markets and time periods. [ - - - ] Traders
should
> > > > > search for strategies yielding K-ratios greater than +0.50.
> > > > > Together,
> > > > > the Sharpe ratio and K-ratio are the most important
> > > > > measures when evaluating trading strategy performance.
Note: When I
> > > > > created the K-ratio in 1996, I thought I had created a
> > > > > robust measure to evaluate performance. In mid-2000, trader
Bob
> > > > > Fuchs
> > > > > brought a small error to my attention regarding the
> > > > > scaling of the K-ratio. He was correct in his critique and
I have
> > > > > corrected the error in this text. Publications prior to
2002 will
> > > > > show a different formula for the K-ratio. The updated
formula in
> > > > > this
> > > > > book is correct."
> > > > >
> > > > > Mr Lars Kestner has corrected his formula based on this
critique:
> > > > > K-ratio = slope / ( sterr * per )
> > > > >
> > > > > slope: Linear regression slope of equity line
> > > > > sterr: Standard error of slope
> > > > > per: Number of periods in the performance test
> > > > >
> > > > > Special thanks to Jeremy Berkovits who brought that to my
attention.
> > > > >
> > > > > <======
> > > > > There was quite a bit of discussion at the time.
> > > > > I understand RRR intuitively, and when i look at the other
ratios i
> > > > > can see why one is higher or lower (with a bit of checking).
> > > > >
> > > > > Is it possible that there was a typo in the K-ratio
correction?
> > > > > Perhaps Mr Kestner has made another change?
> > > > > I don't have his books or articles, i just gave up on the k-
ratio
> > > > > because i didn't think it was telling me anything useful.
> > > > >
> > > > > I would be interested if you or anyone else have run some
examples
> > > > > where K-ratio is high and exposure is high, and what are
the other
> > > > > backtest numbers.
> > > > >
> > > > > regards
> > > > > Gerry
> > > > >
> > > > >
> > > >
> > >
> > >
> >
> >
>