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<FONT color=#000080
size=2>Steve,
<FONT color=#000080
size=2>
Re: >><FONT
face=Arial color=#0000ff>it is designed to optimize the parameters to maximize
the total system return.<<
<FONT color=#000080
size=2>
Just my humble
opinion but I suspect you are using the 3-D for the wrong purposes. If you
want maximum returns, you can simply optimize in AA and sort by %
return.
<FONT color=#000080
size=2>
3-D isto show
you which parameters are the most robust. If you find a large flat plain
in the 3-D that means there is a wide range of parameters that give consistent
returns. This is robustness.
<FONT color=#000080
size=2>
If youuse 3-D to
find the best return, chances are it is located on a peak with sharp drop-offs
(although this is not always the case). The sharp drop-offs indicate that
the parameters are not robust.
<FONT color=#000080
size=2>
To some extent,
robustness helps with "consistent performance".
<FONT color=#000080
size=2>
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Davis
[mailto:sdavis@xxxx]Sent: Thursday, October 17, 2002 2:07
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Optimizing for consistent performance
<SPAN
class=594000118-17102002>Rick,
<SPAN
class=594000118-17102002>
Yes,
I have tried Herman's optimizer -- it is designed to optimze the parameters to
maximize the total system return. That is useful, but not exactly what I want.
If I optimize the system to maximize gains, the drawdowns become horrible. I
need a system that produces steady monthly returns.
<SPAN
class=594000118-17102002>
You
can get at least 50 years of historical EOD data from Yahoo. The DOW, SP500,
Utilities, and transports all have at least 50 years of data
available.
<SPAN
class=594000118-17102002>
<SPAN
class=594000118-17102002>-Steve
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: Thursday, October 17,
2002 2:01 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:RE:
[amibroker] Optimizing for consistent performance
<FONT color=#000080
size=2>Steve,
Not exactly
sure what you are asking. But have you tried Herman's 3-D Optimizer
for Excel (in download area, I believe) to find the most robust
parameters?
<FONT color=#000080
size=2>
Another
question: Where did you get 50 years of data?
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Thanks,
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Davis
[mailto:sdavis@xxxx]Sent: Thursday, October 17, 2002
1:34 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Optimizing for consistent performance
AB rocks!
After
using AB for only a month, I have developed a system that produces 50%
risk-adjusted-returns trading the S&P500 over the last
50 years. It is a short-term trading system with an average trade
lasting 4 days.
<SPAN
class=437573315-17102002>
Butthere is
some spikiness in the equity curve. I am having some difficulty tuning the
system to produce steady monthly cash flow. The goal is not to maximize
profits over 50 years, but to produce consistent profitable
results.
<SPAN
class=437573315-17102002>
Oneproblem is
how to measure the system performance so it can be properly tuned. I do
not know many important statistics of the system. For example, has the
system ever had a losing year? What is the worst-case number of
consecutive losing months? <SPAN
class=437573315-17102002>I don't think minimizing drawdown is sufficient
to meet my goals.
<SPAN
class=437573315-17102002>
Theapproach I
have been using is an iterative process of eye-balling the equity
curve, changing parameters, and trying again. There must be a better way.
Is there a reasonable way to automate this task?
<SPAN
class=437573315-17102002>
Howare other
AB users optimizing their equity curve?
<SPAN
class=437573315-17102002>Cheers,
<SPAN
class=437573315-17102002>-StevePost
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