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
