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Hi,
Did you end up posting that DLL (or its source) anywhere? I didn't
notice it go by. I don't receive attachments as part of these posts,
but I looked in the messaging archive at purebytes and did not see
any attachment there either.
Thanks.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@xxx> wrote:
>
> Thanks for the great response.
>
> With so many options available, I like the idea of have a "best"
> solution with some logical or at least empirical reasoning.
>
> I am doing some walkforward testing now with UPI, to see how it
works.
>
> So far, Car/Mdd and Pessimistic Car/Mdd seem to have good results
in
> the walk forward testing. k-ratio was disappointing.
>
> Mdd does have a "long tail" on the positive side, like a bell curve
> with one end pulled out. The car distribution is much
> more "normal".
>
> Great link to Howards's slides. I enjoyed his book and look
forward
> to the enxt one.
>
> I dont mind sharing the dll for Pesimistic Car/Mdd. There are also
> some performance hacks to speed up DayOfWeek(), RoundPenny() and
> IsOptionsWeek() that togeher, shaved 20% of the execution time off
my
> system.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Hi,
> >
> > I think that the answer that you are most likely to hear is that
> > there is no 'best' fitness function, since no two traders are
> exactly
> > alike, and the function has to suit the trader.
> >
> > However, generalizations can be made with regards to
> characteristics
> > that some fitness functions appear to posess. For example; K-
Ratio
> > and UPI tend to have a smooth steady slope.
> >
> > ***
> >
> > Currently, I have been striving to minimize the size, and more
> > importantly to me - the duration, of a drawdown. As such, I find
> that
> > UPI serves as a good base. A nice description written by Peter
> > Martin, the creator of the Ulcer Index and UPI (also known as
> Martin
> > Ratio), can be found here: http://www.tangotools.com/ui/ui.htm
> >
> > I combine UPI with filters unique to my needs (with regards to
> > holding periods and number of trades). For exmaple, I deduct from
> the
> > UPI on a sliding scale when there are too few trades or when
trades
> > are on average held too long. I produce a custom metric, using
> custom
> > backtester code, which I then use as the fitness function for
walk
> > forward.
> >
> > ***
> >
> > Howard Bandy regularly cites CAR/MDD, RAR/MDD, RRR, Ulcer
> Performance
> > Index, and K-Ratio as strong starting points from which to form
> your
> > personalized metric. He gave a nice example in his Las Vegas
> workshop
> > (slides for a similar workshop can be found in this post:
> > http://finance.groups.yahoo.com/group/amibroker/message/123602 )
> > where he outlined a custom metric based on the following criteria:
> >
> > "My goal is to make a 15% annual profit trading common stocks,
> > control drawdowns, cherry-pick trades, hold about one week, and
be
> > tradable without interfering with my day job."
> >
> > Howard also offered a suggestion for evaluating your fitness
> function
> > by running several different functions against the same data,
> > printing out the graphs, and then eyeballing the equity curves to
> see
> > which one was most appealing to you. In practice you may be
> surprised
> > at what ultimately appeals to you.
> >
> > ***
> >
> > In his most recent book (The Evaluation and Optimization of
Trading
> > Strategies), Robert Pardo offers up a suggested metric that he
> calls
> > PROM (Pessimistic return on margin) which is very much like what
> you
> > are describing in that he adjusts downwards the number of winning
> > trades (by the square root of the number of winners) before
> > multiplying by the average win. Similarly, he adjusts upwards (by
> the
> > square root) the number of losing trades before multiplying by
the
> > average loss. Using this adjusted gross return, he then
calculates
> > the annualized rate of return over margin (assuming futures
> trading).
> >
> > Pardo also advocates measuring performance against perfect profit
> > where perfect profit is defined as the sum total of all of the
> > potential profit that could be realized by buying every bottom
and
> > selling every top. He refers to the ratio of Net Profit/Perfect
> > Profit as "model efficiency".
> >
> > ***
> >
> > In direct contrast to many of the measures above, Ralph Vince
(The
> > Handbook of Portfolio Mathematics) belittles any calculation
using
> > MDD as being delusional. 50 tosses of a fair coin can and will
> result
> > in 50 straight losses from time to time. Does that imply that the
> > probabilities have changed at all just because your backtesting
> only
> > saw 25 losing tosses earlier?
> >
> > He states that two systems are best compared by determining their
> > geometric means as calculated at their "optimal f", and the
> > comparrison of the optimal f itself, on a two dimensional scale
> such
> > that the higher geometric mean with the lower optimal f is the
> better
> > system.
> >
> > I haven't finished this book yet, but he introduces a revised
> > approach later which addresses the very real problem of optimal f
> in
> > that the drawdowns can be severe, thereby precluding most traders
> > from following through on the principle.
> >
> > ***
> >
> > Your DLL sounds appealing. Would you be willing to share it with
> > others?
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@> wrote:
> > >
> > > 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.
> > >
> >
>
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