Also, Be sure to set the "Optimization target" field to FilteredNetProfit (the custom metric added in Howard's code) in the Walk Forward tab of the AA Settings. This applies to any optimization, not just Walk Forward.
I believe that the entry must exactly match the way that it appears in the code (i.e. case sensitive). Mike P.S. Optimizing on something like CAR/MDD implicitly penalizes drawdowns while rewarding strong returns, thereby sidestepping the need for your custom metric. --- In [email protected], Howard B <howardba...@...> wrote: > > 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 <ics4...@...> 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 > > > > > > >
