Hi Dennis -- If you want a metric that is not one of those already available in AmiBroker, you can create a custom metric, then instruct AmiBroker to report its value in every report -- and even use that metric as the objective function during walk-forward testing. Are you looking for help in doing that? Or remind us again what your question is?
Thanks, Howard On Wed, Mar 12, 2008 at 11:36 AM, Dennis Brown <[EMAIL PROTECTED]> wrote: > Howard, > > Thanks for the input. I will investigate these some more. > > However, I do not use the built-in equity functions, or any of the > built-in trading functions. Tomasz has done a wonderful job with these, but > they do not fit well with what I am doing with my trading. I find it easier > to understand what I am getting if I write everything myself just for my > situation and not the general case. > > Everything I do is in indicator mode in realtime. I build all my metrics > into my AFL. My charts and numbers always match and all my settings are > stored in my Flexible Parameters scheme for different test systems. It is a > little different approach, but that is one of the beauties of AB --that it > allows a lot of flexibility of doing your own thing if you don't want to use > the built-in ways. > > Sometimes, you have to march to the beat of a different drummer to make > money in these markets. > > Thanks again, > Dennis Brown > > > On Mar 12, 2008, at 1:38 PM, Howard B wrote: > > Hi Dennis -- > > There are several metrics already built in to AmiBroker that measure both > the steepness and smoothness of the equity curve. Try generating a few test > runs, plot their equity curves, note the values of these metrics, and see > which ones best fit your trading personality. A nice advantage to using > these is that they usually tend to select trading systems that test well > out-of-sample, so are appropriate for use with the Walk-Forward technique > now also built in to AmiBroker. > > KRatio > CAR/MDD > RAR/MDD > RRR > RecoveryFactor > UlcerPerformanceIndex > > Thanks, > Howard > > On Tue, Mar 11, 2008 at 6:06 PM, Dennis Brown <[EMAIL PROTECTED]> wrote: > > > Hello, > > > > I have my system for intraday trading complete enough that I need to > > start selecting goodness criteria for comparing variations. I have > > selected a number of metrics to display in realtime for an n day > > backtest like: > > > > total trade count > > average bars per trade > > winning trade % > > trade bars % in green > > best trade $ > > worst trade $ > > average win $ > > average loss $ > > *total profit $ > > *max draw down $ > > *EDGE (average $ per trade) > > *I have a graph of the cumulative profit over time and an overlaid > > straight line plot. This is the most powerful tool, because it lets > > me see the real character of the system. The straighter the line, the > > less likely it is over fit to the data and represents a robust system. > > > > I also have a graph of the trade equity on a trade by trade basis, so > > I can see how good the entry timing is and how a trade progresses on > > average or in outlier conditions. > > > > The * items are my key metrics for system comparison. This simple > > system runs completely in indicator mode. I test about 1000-2000 > > trades over a 10 week test period. > > > > Because of the type and manner of my trades (1 futures contract only > > traded during market hours), the data is easy to judge for goodness. > > Since every day is an island, I could even use interesting random day > > strategies for in and out of sample data, but so far I just use > > various sequential segments. > > > > However, when I am spinning my scroll wheel on parameters while > > looking at my charts, it would be nice to have a number that > > represents how straight the equity curve is as a first pass -- > > especially for when I partially automate the optimization process later. > > > > I thought I would just take the standard deviation of the whole curve > > to the straight line. This is easy. But I think some of you have > > given this problem a lot of thought and I figured one of you may have > > some additional insights into the best method for getting a meaningful > > number for straightness/smoothness of the equity curve. So here I put > > the question to you now with an open mind, before I become set in my > > ways ;-) > > > > Best regards, > > Dennis Brown > > > > > > >
