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Yes, my maths teachers would be laughing now if they new I had to
read maths books.
IMO you can't beat a spreadsheet as a training tool for trading.
If it is just the second or third plot you want go to the SERIES tab
in step 2 of the 'insert chart Wizard' and add one column/plot at a
time (you can specify the cell range for data, the name and the x
asis range).
It it is more than that - over to the experts.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Thanks Brian. I will read those and try to see if I can arrange
this. I
> have no problem making graphs with data in lines and column, but I
guess
> it's a bit different when it's two columns. This should be easy
stuff, and
> now I regret all those school classes when I wasn't watching!
>
> Louis
>
> 2008/4/16, brian_z111 <brian_z111@xxx>:
> >
> > 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 <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> 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@>:
> > > >
> > > > Thanks Tomasz!
> > > >
> > > >
> > > > 2008/4/16, Tomasz Janeczko <groups@>:
> > > > >
> > > > > > 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@>
> > > > > *To:* amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>
> > > > > *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@>:
> > > > > >
> > > > > > "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@>
> > > > > > *To:* amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>
> > > > > > *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@>:
> > > > > > >
> > > > > > > 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
> > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > > >
> > > >
> > > >
> > >
> >
> >
> >
>
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