Hi would you "Param" method work if you were testing a system out on multiple stocks? If so... how?
Thanks, Joel --- In [email protected], Dennis Brown <[EMAIL PROTECTED]> wrote: > > Herman, > > I agree with your method, and that is precisely how I do it. I > actually have a "gold" colored equity plot that I can turn on an off > on right on top of my main chart. > > It is also easy to see what the ideal curve would be, just use a look > ahead (ZigZag, centered MA, etc.) indicator for buy/sell and dream of > the day when you can look ahead one minute into the future. LOL > > Dennis > > On Jun 9, 2007, at 12:48 AM, Herman wrote: > > > this is jmo but if you have enough trades and you don't have too > > many Opt variables, by far the easiest way to optimize is to use > > visual optimizations. > > > > > > > > We do this by running the system in an Indicator and plot the > > equity. Substitute the Optimize() with a Param() and simply drag > > the Param slider left and right. This is a hundreds times faster > > than optimizing and you'll automatically reject over-optimization > > because these conditions don't last over many consecutive opt > > values. You can also immediately see how optimum values for one > > ticker apply to other tickers simply by clicking on the tickers in > > your work space. This, btw, gives you a real good impression on how > > robust (market wise) your system is. You can also immediately pick > > up on any system bias towards stock price, sectors, markets, time > > periods, Long vs Short, etc. And all that is minutes... > > > > > > > > I find the visual feedback is very effective, catches a lot more > > invalid/over-optimized results, and splits etc. Performance is > > immediately obvious from the equity chart. Not only that, if your > > equity jumps up/down you can immediately zoom in on the event and > > analyze that happened. > > > > > > > > I like it simple > > <smile.gif> > > less surprise that way. > > > > > > > > herman > > > > > > > > > > > > > > > > Saturday, June 9, 2007, 11:48:15 AM, you wrote: > > > > > > > > > The linearity of the equity curve is probably one of the best > > measures > > > > > of predictable future performance, if you have enough data > > samples. I > > > > > believe one way to check for the linearity of the equity curve is > > the > > > > > standard error provided in the optimization table and backtest > > > > > report. I'd like to know what the precise definition of this > > standard > > > > > error criteria is, by the way. > > > > > > > > > The data I am working with is 1-minute bars, but part of it was > > > > > collected some time ago when IB was not providing after-market data > > > > > (last fall?), so my bars per day is not uniform, and therefore > > > > > the equity line will have a lower slope in recent months, so my > > > > > standard error measure is higher than it would be with uniform data. > > > > > > > > > Consequently, I've been experimenting with a variation that > > allows the > > > > > trades to be less uniformly distributed over time, but I want the > > > > > profit per trade average to be consistent. I average the profits > > from > > > > > the last 50 trades, for example, and compute the linearity of that > > > > > instead of the equity curve. > > > > > > > > > For both of these, we don't just want a straight equity line - it > > > > > should be a straight line that rises, so we really want a > > combination > > > > > of the net profit and this linearity measure, and one way of > > computing > > > > > that is netProfit / stdErr. > > > > > > > > > There is a lot more to this. Some other factors to consider are how > > > > > much of your equity you are risking with each trade, how long it is > > > > > tied up not doing something else, and the magnitude of your > > potential > > > > > loss. > > > > > > > > > Daniel LaLiberte > > > > > [EMAIL PROTECTED] > > > > > > > > > On Monday 04 June 2007 03:00 pm, Dennis Brown wrote: > > > > >> Alex, > > > > > > > > >> What you might be looking for is how straight the equity curve > > is. I > > > > >> have not tried this yet in automatic mode, but when I plot the > > equity > > > > >> curve I look for the gain and how straight the curve is. As a > > single > > > > >> number, that would likely be the correlation to a straight line > > > > >> between the start and ending equity values. That way you are not > > > > >> fooled by a single rare event. > > > > > > > > >> Dennis > > > > > > > > >> On Jun 4, 2007, at 2:50 PM, dralexchambers wrote: > > > > >> > I am currently testing and optimising a trading system over 1 > > year of > > > > >> > data, and sorting the results by Gross Profit Made. > > > > >> > > > > > >> > What I am finding is that by sorting the results by Gross Profit > > > > >> > Made, the system has long periods of small losses then one big > > gain. > > > > >> > Although over a year this provides a good return, drawdowns in > > the > > > > >> > interim are bad - and I am looking for regular cashflow with > > lower > > > > >> > drawdowns rather than the largest gain made over a year. > > > > >> > > > > > >> > Can anyone think of a way to optimise results for maximal cash- > > flow > > > > >> > each month rather than Gross Profit Made in a year? Is there a > > > > >> > mathematical formula I can use? > > > > >> > > > > > >> > I tried using a average of x bars, but this still doesn't > > solve the > > > > >> > problem, eg: > > > > >> > > > > > >> > Week 1: -$40 > > > > >> > Week 2: -$40 > > > > >> > Week 3: $8000 > > > > >> > > > > > >> > whereas I would like more: > > > > >> > > > > > >> > Week 1: $900 > > > > >> > Week 2: $1500 > > > > >> > Week 3: $2000 > > > > >> > > > > > >> > (this is a very simplified example but illustrates what I am > > after). > > > > >> > > > > > >> > Many thanks, > > > > >> > Alex > > > > > > > > > > > > > > > > > > > > > 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! 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