Hi RZ --
You can do this by creating a custom objective function.
It could as simple as assigning the custom function a value of 0 whenever
the parameter set results show maximum system drawdown exceeds 30%.
Try this:
/////////////////////////////////////////
// LimitDrawdown.afl
//
// Use CustomBacktester to limit
// drawdown in trading systems.
//
// Howard Bandy
// June 2010
//
OptimizerSetEngine( "cmae" );
// The custom backtest code
// to penalize results that do not
// meet your specifications
DesiredDDLimit = 30;
SetCustomBacktestProc( "" );
if ( Status( "action" ) == actionPortfolio )
{
bo = GetBacktesterObject();
bo.backtest();
st = bo.getperformancestats( 0 );
MaxSysDD = abs( st.getvalue( "MaxSystemDrawdownPercent" ) );
NetProfPct = st.getvalue( "NetProfitPercent" );
ObFn = ( MaxSysDD < DesiredDDLimit ) * NetProfPct;
bo.addcustommetric( "FilteredNetProfit", ObFn );
}
// The Buy and Sell signals
MA1Len = Optimize( "MA1Len", 5, 1, 100, 1 );
MA2Len = Optimize( "MA2Len", 20, 1, 100, 1 );
MA1 = EMA( C, MA1Len );
MA2 = EMA( C, MA2Len );
Buy = Cross( MA1, MA2 );
Sell = Cross( MA2, MA1 );
e = Equity();
Plot( e, "E", colorGreen, styleLine );
////////////////// end ////////////////////
////////////////////////////////////////
Thanks,
Howard
On Fri, Jun 11, 2010 at 6:37 AM, ics4mer <[email protected]> wrote:
>
>
> Hi,
>
> Doing a bit of backtesting lately, and I was wondering how to limit the
> drawdown while using another metric for the objective function.
>
> Lets say that I want to optimize for Net Profit, but I won't accept
> parameter sets that result in a drawdown of more than 30%
>
> I know it can be done (AB does anything).
>
> Could somebody give me a pointer please?
> I can't find explicit references to it in the archive, and I don't think
> I'm ready for some of the more intricate parts of the CBT.
>
> TIA
>
> RZ
>
>
>
