Hi Haders -- If you use only percent system drawdown, and minimize that, the system chosen will probably not trade much and the annual percentage gain will be low. If one of the choices among the optimization set results in taking no trades, that will minimize percent system drawdown.
As an alternative, you might try one of the metrics that rewards equity growth, rewards equity smoothness, and penalizes drawdown. The built-in metrics that do that are: CAR/MDD, RAR/MDD, RRR. Ulcer Performance Index, and K-Ratio. If none of these are exactly what you are looking for, you can create you own custom metric and have AmiBroker use it. Thanks, Howard www.quantitativetradingsystems.com On Sun, Jun 29, 2008 at 1:20 PM, haders2003 <[EMAIL PROTECTED]> wrote: > Hi > > I'm interested in any comments regarding the use of % system drawdown > as a filter. By this I mean, only buy when % System drawdown is less > than, say -5%. > > I have applied this to 2 trend following systems (Linear Regression > and MA)and in both cases, although CAR was slightly reduced, most > other measures of system performance were much improved. These > included RAR, exposure, CAR/MDD and of course Max % System Drawdown. > > The way I implement this filter is to run the system as normal and > save a plot of % system drawdown, renamed to Sysdd. I then add code > to the original system so that no new positions are opened if Sysdd > is below -5%. > > Am I missing something here (it wouldn't be the first time!)? > > All comments are appreciated > > Regards > > Haders > > >
