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What
you need to do is "find a way" to calculate your profits in a time segemented
way. Ie. Theoretical profits for each week or month. Then plot that on
Herman's chart for smoothness. You'll probably have to do this away from
AB. You'll need end of week pricing along with your positions as determinedin
AB. If you put those 2 items together in a spreadsheet you should be able to
calc the theoretical profits at the end of each week. You'll need to do
this via a macro.
<FONT face=Arial color=#0000ff
size=2>
If you
happend to be using TC2000 or Quotes Plus then you can access the pricing via an
Excel macro and use that plus the exported trade list to come up with
something...
<FONT face=Arial color=#0000ff
size=2>
Just
thinking out loud on this ...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>dingo
<FONT
face=Tahoma size=2>-----Original Message-----From: Steve Davis
[mailto:sdavis@xxxx] Sent: Thursday, October 17, 20022:45
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Optimizing for consistent performance
<SPAN
class=522583218-17102002>Rick,
<SPAN
class=522583218-17102002>
<SPAN
class=522583218-17102002>Hermans 3D optimizer is a blast to play with. I am
having great fun exploring new ideas. You make a g<FONT
face=Arial color=#0000ff size=2>ood point,
sharp peaks bad, rolling hills good. I will look for that.
<SPAN
class=522583218-17102002>
I'm
not sure if I'm adequately expressing my original point.
<SPAN
class=522583218-17102002>The z-axis of the 3D plot is total system return over
the 50-year test. I am suggesting perhaps there is some other system
measurement that could be used for the z-axis. I need a mathematical
expression that evaluates the return of the system but also takes into account
the volatility of the equity curve.
<SPAN
class=522583218-17102002>
<SPAN
class=522583218-17102002>Thanks for the discussion. Putting this into words
helps me clarify my own thoughts.
<SPAN
class=522583218-17102002>-Steve
<SPAN
class=522583218-17102002>
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: Thursday, October 17,
2002 2:23 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:RE:
[amibroker] Optimizing for consistent performance
<FONT color=#000080
size=2>Steve,
<FONT color=#000080
size=2>
Re:
>>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 inAA
and sort by % return.
<FONT color=#000080
size=2>
3-D is to
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>
Ifyou use
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>
Tosome
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>
<SPAN
class=594000118-17102002>Yes, I have tried Herman's optimizer -- itis
designed to optimze the parameters to maximize the total system return.
That is useful, but not exactly what I want. If I optimize the systemto
maximize gains, the drawdowns become horrible. I need a system that
produces steady monthly returns.
<SPAN
class=594000118-17102002>
<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's3-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!
<SPAN
class=437573315-17102002>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>
But there
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>
One
problem 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? <FONT face=Arial
size=2>I don't think minimizing
drawdown is sufficient to meet my goals.
<SPAN
class=437573315-17102002>
The
approach 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>
How are
other AB users optimizing their equity curve?
<SPAN
class=437573315-17102002>Cheers,
<SPAN
class=437573315-17102002>-StevePost
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