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Mike:
I don't know the application you use, but you will probably have to plot
your test results in Excel and calculate the variance or standard deviation
of returns for a variety of systems.
Please note that my consistency suggestion applies to a fixed fractional
trading system. The nature of the results you want from your system will be
different if you trade a fixed number of contracts or shares, or some other
money management system.
Regards.
----- Original Message -----
From: mikelu <mikelu@xxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: July 19, 1999 23:24
Subject: RE: Optimal f and system optimization
> With what tool can you measure consistency of profitability? I'm using
> Technifilter, but it doesn't chart your equity nor even give you the nice
> System Report that Metastock does.
>
> Mike
>
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Glen Wallace
> Sent: Monday, July 19, 1999 10:35 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Optimal f and system optimization
>
> Rudolph:
>
> That sounds really interesting. I'd like to hear what you find.
>
> Be careful not to over-optimize, though. Your primary goal should not be
> to maximize profits themselves, but rather to maximize *consistency* of
> profitability from your system. From here, your money management system
> and time will maximize overall profit.
>
> Regards.
>
>
> ----- Original Message -----
> From: rudolf stricker <rst@xxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: July 17, 1999 09:05
> Subject: Optimal f and system optimization
>
> > Optimizing 4 simple ROC-based systems for long/short positions in
> > calls/puts for the DAX, I found that money management by Optimal f,
> > like proposed in Futures Magazine 1992 (as posted here by Ed Winters;
> > thanks again) does not lead automatically to the best results in terms
> > of profit. This is, because imo system optimization and Optimal f
> > calculation can not be seen as independent procedures, that can be
> > done consecutively.
> >
> > Therefore, imo system optimization should not be done at f=1 (like
> > implemented hard-wired in MetaStock) or at f=0 (like suggested by the
> > Optimal f procedure posted here). The best choice should be to include
> > f into the list of system parameters for optimization, and I'm ready
> > to enter this line.
> >
> > Does anybody around here have similar experiences? Or did I get
> > something wrong? - Any suggestions?
> >
> > mfg rudolf stricker
> > | Disclaimer: The views of this user are strictly his own.
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