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Hi Haders --
If you use only percent system drawdown, and minimize that, the system chosen will probably not trade much and the annual percentage gain will be low. If one of the choices among the optimization set results in taking no trades, that will minimize percent system drawdown.
As an alternative, you might try one of the metrics that rewards equity growth, rewards equity smoothness, and penalizes drawdown. The built-in metrics that do that are: CAR/MDD, RAR/MDD, RRR. Ulcer Performance Index, and K-Ratio.
If none of these are exactly what you are looking for, you can create you own custom metric and have AmiBroker use it.
Thanks,
Howard
www.quantitativetradingsystems.com
On Sun, Jun 29, 2008 at 1:20 PM, haders2003 < haders2003@xxxxxxxxx> wrote:
Hi
I'm interested in any comments regarding the use of % system drawdown
as a filter. By this I mean, only buy when % System drawdown is less
than, say -5%.
I have applied this to 2 trend following systems (Linear Regression
and MA)and in both cases, although CAR was slightly reduced, most
other measures of system performance were much improved. These
included RAR, exposure, CAR/MDD and of course Max % System Drawdown.
The way I implement this filter is to run the system as normal and
save a plot of % system drawdown, renamed to Sysdd. I then add code
to the original system so that no new positions are opened if Sysdd
is below -5%.
Am I missing something here (it wouldn't be the first time!)?
All comments are appreciated
Regards
Haders
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