Re: [amibroker] Re: Best backtest report metric to evaluate and pick optimization settings

[Joe Landry]

HELLO TIEDMJ: The answer is not evident or simple, but has been worked before in this forum and other places. Several different approaches are used and discussed to some extent in the use of IO, the Intelligent Optiimizer developed by Fred Tonnetti.   I've used Ulcer Performance Index, Sharpe, and probably the most popular with our local group is CAR/MDD, giving one a handle of return over risk. With IO you can set GOALs of a certain CAR and then optimize CAR/MDD. Others have worked the number of trades.     If you're interested I can give you the link to a video of a class called Optimization 101 that addresses some of these issues, and eventually when edited a video on Optimization 201.   Now mind you I'm talking about EOD position trading, with a moderate to few of trades per year. You may very well be talking about "day" or automated trading.     You don't have to dive in to IO but you can down load the documentation and see if that helps    Regards Joe   ----- Original Message ----- From: tiedemj To: amibroker@yahoogroups.com Sent: Monday, March 20, 2006 7:58 AM Subject: [amibroker] Re: Best backtest report metric to evaluate and pick optimization settings no takers on this one ? Am I the only one pondering on this - or is the answer simple and self evident? regards --- In amibroker@yahoogroups.com, "tiedemj" <[EMAIL PROTECTED]> wrote: > > Ultimately, a high CAR will give the best results overall - but when > constructiong trade systems using many symbols/stocks - RAR is also > very valuable. However, picking optimization values around an > extremely high RAR might lead to curve fitting (this situation will > never come around again, as this RAR might be based on a very low > number of trades). So what result metrics are in your view the best > to pick optimization values on in this situation. Some suggestions: > > - RAR > - Avg Profit/Loss% > - Recovery Factor > - Profit Factor > - Payoff Ratio > > Or one could calculate a meassurement like: > > - RAR * CAR > > But would be interested if somebody else has grabbled with this - > and come to some conclusions... > > Best regards > 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 other support material please check also: http://www.amibroker.com/support.html YAHOO! GROUPS LINKS  Visit your group "amibroker" on the web.    To unsubscribe from this group, send an email to:  [EMAIL PROTECTED]    Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.