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Steve,
You may consider one of the risk adjusted performance measurements to
your equity curve, like Sharpe Ratio or Ulcer Performance Index. Ken
Close posted AFL for these quite some time ago.
Tim Gadd
--- In amibroker@xxxx, "Steve Davis" <sdavis@xxxx> wrote:
> 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.
>
> 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.
>
> 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? I don't think minimizing drawdown is
sufficient
> to meet my goals.
>
> 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?
>
> How are other AB users optimizing their equity curve?
>
> Cheers,
> -Steve
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