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Rudolf
I'd like to see the article and the .xls file.
Thanks
Guy
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]
On Behalf Of Ryan Yeo
Sent: Saturday, August 07, 1999 8:29 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Optimal f and system optimization
Hi
I woud like to thave a copy of the file. Thanks!
Ryan
rudolf stricker wrote:
> On Tue, 27 Jul 1999 11:57:22 -0700, you wrote:
>
> > In fact, I suspect that by including money management
> >parameters (like optimal f) in system design and testing, one will find
that
> >many mediocre systems we have long since dismissed because of poor
win/loss
> >ratios (or whatever other inadequate yardsticks we currently use to
measure
> >a system), would actually be ideal candidates for trading.
> >
> >Including money management in system testing is certainly beyond
MetaStock's
> >capabilities and beyond my present skills. Do you have any suggestions?
>
> I used MetaStock for some time until I was tired of many shortcomings
> showing up. So I moved back to Excel for all my calculations (trading
> model (TM) set-up, goal function (GF) set-up, "genetic" optimization
> (GO) routine, graphic representation of results, etc.)
>
> At this time, I have worked out some extended GF capabilities. Based
> on an article from ... (sorry, I have no access to this info at the
> moment, but I'm ready to send a 600 kB zip-File of the WEB-article
> (pdf) and the accompanying *.xls, if anybody is interested), I have
> set-up separate Weibull distributions for wins and losses (reflecting
> nicely the unsymmetrical features of these distributions). From this,
> I can easily calculate e.g. the probability-to-win/loose-more-than-xx%
> (p2w/lmtxx%) from past trading results. And including these into the
> GF (e.g. GF = profit / p2lmtxx% * p2wmtyy%) did exactly what you
> describe above: it changed dramatically my view at the trading system
> optimization results.
>
> One of my next steps will be to include the "f" into the TM for
> reasons discussed above.
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
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