|
PureBytes Links
Trading Reference Links
|
Has anyone done quantitative testing to pick the best fitness
function?
Car/mdd seems to work well, better than k-ratio or sharpe in my
personal testing.
Haven't tried Ulcer performance index.
I just woundered what others have found.
Since the fitness function has such a major impact on the system that
results, it seems that a good fitness function should help the system
perform well in walk forward testing. This could be measured by walk
forward testing the same system with different fitness functions and
comparing how they do in the out of sample data.
I have been experimenting with a new fitness function I
call "pessimistic car/mdd". It uses a dll to resample the trade list
after each run 10,000 times, similar to a bootstrap method. It finds
the histogram of the resampled car and mdd values, then calculates
car/mdd based on average car - 1 stdev and mdd + 1 stdev.
The goal of this fitness function is to minimize the impact of data
mining.
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|