Thanks Tomasz!
2008/4/16, Tomasz Janeczko <[EMAIL PROTECTED]>: > > > So.. If we consider that walk-forwarding would eliminate all > curve-fitting, then what do you consider to be the best variable to > walk-forward? RAR, CAR, Net profit%? > The best is your custom metric that fits your trading style. > As far as "generic", most simple and built-in metrics are considered I > would opt for CAR/MDD or RAR/MDD > General rule is that your metrics should always include drawdown > (risk) measure (in addition to profit measure). > > Best regards, > Tomasz Janeczko > amibroker.com > > ----- Original Message ----- > *From:* Louis Préfontaine <[EMAIL PROTECTED]> > *To:* amibroker@yahoogroups.com > *Sent:* Wednesday, April 16, 2008 6:31 PM > *Subject:* Re: [amibroker] Re: Expectancy - and related--specifically > K-rato > > Hi, > > Thanks for your answers. I am reading Howard's book right now (approx. > half the book remaining) and my concern is really for walk-forward as it > seems better than simple optimizing. > > In AB 5.08 I can choose the variables to optimize. I tend to like k-ratio > because it shows consistency in the results; however the best k-ratios are > almost never the best net profit or CAR%. What I have read is here: > http://www.addictfx.biz/15-categorie-90719.html (It's in french... sorry > for those who can't read french). > > So.. If we consider that walk-forwarding would eliminate all > curve-fitting, then what do you consider to be the best variable to > walk-forward? RAR, CAR, Net profit%? > > Thanks, > > Louis > > > 2008/4/16, Tomasz Janeczko <[EMAIL PROTECTED]>: > > > > "I've read somewhere" - well the world (and Internet specifically) is > > full of misinformation. > > You really need to read Howard's book. Regular optimization is NOT the > > same as walk forward. > > Walk Forward process actually prevents/minimises curve fitting. > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > > > ----- Original Message ----- > > *From:* Louis Préfontaine <[EMAIL PROTECTED]> > > *To:* amibroker@yahoogroups.com > > *Sent:* Wednesday, April 16, 2008 5:39 PM > > *Subject:* Re: [amibroker] Re: Expectancy - and related--specifically > > K-rato > > > > Hi, > > > > I've read somewhere that optimizing (or walk-forwarding) using measures > > as k-ratio, RRR or max drawdown can lead to curve-fitting and is not a good > > strategy. Do you agree? > > > > What do you think is the best optimizing strategy? > > > > Thanks, > > > > Louis > > > > 2008/4/13, gerryjoz <[EMAIL PROTECTED]>: > > > > > > Grant, > > > in your post you asked me to elaborate on why i thought the K-ratio > > > was a waste of space and RRR was simpler/better. What i have found is > > > that k-ratio is generally lower the higher the exposure for the same > > > or similar trading systems in back test. If you want a high k-ratio, > > > according to the AB calc, don't buy or sell! > > > Here is a contrived (curve-fit) example (run on real data) over a few > > > years > > > CAR 33% > > > Profit factor 7 > > > CAR/MDD 2.8 > > > Max Sys DD % 11.5% > > > RRR 2.15 > > > K-ratio .096 > > > exposure 49% > > > #trades 170 > > > > > > the K-ratio definitio in AB help is > > > " > > > K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The > > > higher K ratio is the more consistent return you may expect from the > > > system. Linear regression slope of equity line multiplied by square > > > root of sum of squared deviations of bar number divided by standard > > > error of equity line multiplied by square root of number of bars. More > > > information: Stocks & Commodities V14:3 (115-118): Measuring System > > > Performance by Lars N. Kestner > > > " > > > personally i prefer measures which are more easily comprehended. This > > > one isn't, even tho 40 years ago i did do maths & stats at uni. > > > In any case, back in May 2004 Tomasz changed the calc... > > > ======> > > > > > > K-ratio calculation changed. following the change made by its creator, > > > Mr. Lars Kestner. > > > > > > Quoting from the book "Quantitative Trading Strategies" from 2003 by > > > Lars Kestner: > > > > > > [ - - - ] > > > " The K-ratio is a unitless measure of performance that can be > > > compared across markets and time periods. [ - - - ] Traders should > > > search for strategies yielding K-ratios greater than +0.50. Together, > > > the Sharpe ratio and K-ratio are the most important > > > measures when evaluating trading strategy performance. Note: When I > > > created the K-ratio in 1996, I thought I had created a > > > robust measure to evaluate performance. In mid-2000, trader Bob Fuchs > > > brought a small error to my attention regarding the > > > scaling of the K-ratio. He was correct in his critique and I have > > > corrected the error in this text. Publications prior to 2002 will > > > show a different formula for the K-ratio. The updated formula in this > > > book is correct." > > > > > > Mr Lars Kestner has corrected his formula based on this critique: > > > K-ratio = slope / ( sterr * per ) > > > > > > slope: Linear regression slope of equity line > > > sterr: Standard error of slope > > > per: Number of periods in the performance test > > > > > > Special thanks to Jeremy Berkovits who brought that to my attention. > > > > > > <====== > > > There was quite a bit of discussion at the time. > > > I understand RRR intuitively, and when i look at the other ratios i > > > can see why one is higher or lower (with a bit of checking). > > > > > > Is it possible that there was a typo in the K-ratio correction? > > > Perhaps Mr Kestner has made another change? > > > I don't have his books or articles, i just gave up on the k-ratio > > > because i didn't think it was telling me anything useful. > > > > > > I would be interested if you or anyone else have run some examples > > > where K-ratio is high and exposure is high, and what are the other > > > backtest numbers. > > > > > > regards > > > Gerry > > > > > > > > > >
