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Rudolph:
Please send me the file too.
Thanks
Lionel Issen
lissen@xxxxxxxxx
----- Original Message -----
From: Ryan Yeo <yeoryan@xxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, August 07, 1999 10:28 PM
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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