I did my thing on evaluation last year, got so far, and parked it
(like AB I can't afford the luxury of taking one part of my package
up too far ahead of the rest - have to take them up together).
For my own use, I have the beginning and the end and I didn't patch
in the pathway between (no immediate payback).
>From there I can do three things:
1) run some comaprisons between binomial simulation and MonteCarlo -
probably they report similar things and I can just use MC
2) Go ahead and build a binomial simulator (I only have a crude Excel
model at the moment) - I would have to pay a developer OR if it is
any good give it to Tomasz for free (assuming he wanted it).
3) Find some ways to fill in the gap (make the math connection)
between root causes and equity outcomes.
So, I am bouncing off your ideas here as part of No 3.
Yes, equity curve analysis could offer the method - definitely slope
(power, growth rate) and/or smoothness (variance) are likely
contenders.
I did find that repetitive tosses of a fair sided coin produces a
probability cone of curves, as the equity outcome, and that is what I
am concerned to account for in simulation (interesting that a
stationary bias produces non-stationary stockcharts with a great deal
of variance).
Although my labtests were basic (no code - a macro button + basic
excel functions only) the data I collected is full of a wealth of
information.
Variance of equity curve metrics would be in there somewhere.
I am following your work (haven't read your uploaded files yet) and
I'll postback any relevant findings I make as time goes along.
I think I understand what you are doing and yes Standard Error is
built for the job (it is unbelieveable how many useful tools the
mathematicians have developed over the years).
So, I will mull over the meaning of smooth equity curves and how to
test for them for a while.
In EOD trading I found that, generally speaking, tweaking for
smoothness was undertaken at the expense of growth.
Theoretically I kinda liked Klestners effort to combine
power/wobbliness in one metric.
Re the UKB.
I'm not on a campaign - it works for me.
Ami support will upload one off or occasional posts (write them in
Word).
The pathway for quick posting is easy to follow - I posted on it.
Follow the Quickpost procedure - attach a PDF as a link.
30 minutes to learn the procedure - 5 mins per post thereafter.
There's no expectation, placed on others, coming from me though.
cheers,
brian_z
--- In amibroker@yahoogroups.com, Dennis Brown <[EMAIL PROTECTED]> wrote:
>
> Brian,
>
> Thanks for your reply.
>
> My thinking is that the Std Error will work. I do not need to use
a
> Log function on my equity curve, because I do not compound my
results,
> so they are linear. I also base my work on constant range bars, so
> that linearizes the curves even more. Profit potential can only
come
> from price movement. The smoothest and straightest equity curves
come
> from the most robust systems. Period. You can look at the curve
and
> judge it, or find a number that is associated with this property.
>
> However, step functions get introduced into your nice trading
system
> from big news events that change the character of the markets
> overnight, or in a minute during the day. I consider these things
> that produce large quick drawdowns will be captured by a Maximum
> Drawdown metric. The test period needs to have some of these big
> events in it. The event may be too quick to affect a large
> statistical function much, giving a false sense of goodness to the
> system. Or the perturbation might show up in a way that takes a
great
> system and makes the smoothness number look bad due to a one time
> event. That is the challenge with a single number, so I will have
to
> experiment with the right weightings.
>
> That is why I say that the absolute judgement comes from
examination
> of the equity curve. The goodness numbers are just for ease of
> relative comparisons of automated parameter optimization for
candidate
> systems. It is also nice to have a number or two as a future point
of
> reference rather than going back over equity curves for every
> comparison.
>
> Perhaps an FFT over the equity curve would generate an interesting
> signature in the period of the dominant frequency and I also need
the
> amplitude. I would have to look into this more, since I have not
> tried this before.
>
> I will start out simple and see how better numbers compare to the
> curves, then decide where to go from there.
>
> > (Why don't you just start posting some of your bits and pieces,
like
> > your new PlotShapes PDF, to the UKB - it is a live site - we don't
> > have to wait for the big bang moment to become an author - a lot
of
> > my stuff is mundane and/or half finished, but it still has its
uses).
>
>
> I am buried in work right now, so I wanted to gauge the value to
> others of some of the things I could post on the UKB. I would have
to
> fight for the time to figure out how to post and fiddle with with
> formatting issues etc. If it were as easy as sending a PDF email
> attachment here, I would have done it a month ago. It is the up
front
> time investment that is holding me back right now.
>
> When I get little feedback or interest from a post, I can't
prioritize
> the time to share more of what I am doing. If I were not so busy,
I
> would do it anyway, but for now I need powerful justification to
delay
> some other important work to make time for it. This is not a
spare
> time hobby for me, because I have no spare time right now. :-(
>
> I could use a teammate to get me through the initial stages.
However,
> I see that only a few have ventured as far as posting yet, so the
> field is limited. I do all my content creation on a Mac, and keep
my
> virtual PC free of everything but AmiBroker and related support
> programs. That is why I prefer to generate PDF content as it
works
> everywhere. And I have exceptionally easy to use and powerful
tools
> for generating them already.
>
> Best regards,
> Dennis Brown
>
>
>
> On Mar 12, 2008, at 7:19 PM, brian_z111 wrote:
>
> > Dennis,
> >
> > So where is your thinking on this now?
> >
> >
> > (I have been following and I am building to some possible input
but
> > since I don't understand logs and barely understand standard
error I
> > have had to go back to school - it takes quite a while for me to
get
> > my head around that stuff and interpret it into trade talk).
> >
> > I have taken a different approach to evaluation (which is still a
> > work in progress) and based on that I am inclined to the view that
> > evaluations on one equity curve are on rather weak ground - IMO
> > simulation is required for analysis of 'what counts most'.
> >
> > Also I am zeroing in on the root causes of equity curve profiles
and
> > measuring smoothness of a curve is measuring the effect.
> >
> > BTW - your pane based analysis is very interesting but I think
> > ultimately it might prove to have some limitations for good
> > evaluation (but not if we correctly identify root causes - we can
> > just pick them out, add some mathematical antecedents and then we
> > will now the answers that simulation will give us and not need to
> > bother the processor - I have convinced myself that this is in my
> > grasps and later I hope the maths people will connect my
conceptual
> > does and bingo, we are there).
> >
> > However, I love your question and approach, so over to your
immediate
> > problem (I had it in mind to go to town on an equity curve
smoothness
> > metric anyway).
> >
> > K-ratio is actually a risk reward metric (is that what you want)?
> >
> > It also (to me) gets a little mysterious in its workings (Klestner
> > doesn't fully explain one part of it - not from my, lay, point of
> > view anyway).
> >
> > I am still thinking about it.
> >
> > So far I would say StDev is out.
> > StandardError will do exactly what you say you want to do (as far
as
> > I can tell - once again the stats teachers seem to find it hard to
> > put it into trade talk - I see it explained in different ways in
> > different books).
> >
> > I haven't reached a final conclusion but it seems most likely
that if
> > you use Standard Error on a compounded equity curve with the LogN
> > approach taken by Klestner you are there - no need to go past
that -
> > my reservation is based on the fact that I am not sure how to
handle
> > standardisation - I only work in relative % change - Klestner
> > attempts to standardise the K-ratio - he had some trouble with it
to
> > start out and had to add a standardising factor.
> >
> >> 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.
> >
> > Yes, all of my evaluation methods are home made, or adaptions of
> > popular methods - works for me.
> >
> > As I said - if you want all of your evaluation in one window you
> > might need a math formula to sum up the transition from root
cause to
> > simulation (I naively believe I have the beginning and end in the
bag
> > and conceptually the middle formula seems attainable).
> >
> > (Why don't you just start posting some of your bits and pieces,
like
> > your new PlotShapes PDF, to the UKB - it is a live site - we don't
> > have to wait for the big bang moment to become an author - a lot
of
> > my stuff is mundane and/or half finished, but it still has its
uses).
> >
> > brian_z
> >
> >
> > --- In amibroker@yahoogroups.com, Dennis Brown <see3d@> 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 <see3d@>
> >>> 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
> >>>
> >>>
> >>>
> >>>
> >>
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
>
