When looking at optimization results, I try to find settings that are good in most or all of these categories...
a. ROI ratio = ( net profit / maximum trade drawdown ) If comparing ROI ratio between systems, must use same historical data for each system test. Look for highest ROI ratio. b. Sharpe Ratio = measure of risk adjusted ROI. Above 1.0 is good, above 2.0 is very good, 3.0 is excellent Decreasing ratio means system losses hurt more than gains help. c. K-Ratio = Detects inconsistency in returns. Measures both profitability and consistency of returns and then returns them in one single number. Should be 1.0 or more. Ratio dependent on length of historical data used. d. Pessimistic Return to Risk Ratio (PRRR) = Large positive returns are not penalized like with the Sharpe Ratio. i. ADD = avg daily drawdown, AWT = avg winning trade, ALT = avg losing trade, Wins = number of winning trades, Losers = number of losing trades ii. PessimisticNet = AWT*(Wins-sqrt(Wins))-ALT*(Losers+sqrt(Losers) iii. PRRR = PessimisticNet/ADD And I followup with an out-of-sample backtest, as well as a Monte Carlo Simulation, to make sure the results stand up to random future data. Brian --- In [email protected], "tiedemj" <[EMAIL PROTECTED]> wrote: > > no takers on this one ? Am I the only one pondering on this - or is > the answer simple and self evident? > > regards > > --- In [email protected], "tiedemj" <home@> 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 > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> Try Online Currency Trading with GFT. Free 50K Demo. Trade 24 Hours. Commission-Free. http://us.click.yahoo.com/RvFikB/9M2KAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> 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 <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
