Re: [amibroker] Limiting Drawdown in a Backtest

[i cs]

Thank you Howard, re_Rowland and Mike

Was trying to avoid the CBT but it looks like I gotta dive in.


BTW Howard, which of your books would best cover this level of experience?

Thanks for your help again

RZ





________________________________
From: Howard B <howardba...@gmail.com>
To: amibroker@yahoogroups.com
Sent: Sat, 12 June, 2010 2:39:54 AM
Subject: Re: [amibroker] Limiting Drawdown in a Backtest

  
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;

SetCustomBacktestPr oc( "" );

if ( Status( "action" ) == actionPortfolio )
{
    bo = GetBacktesterObject ();
    bo.backtest( );
    st = bo.getperformancest ats( 0 );
    MaxSysDD = abs( st.getvalue( "MaxSystemDrawdownPe rcent" ) );
    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...@yahoo. com.au> wrote:

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>Hi,
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>>Doing a bit of backtesting lately, and I was wondering how to limit the 
>>drawdown while using another metric for the objective function.
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>>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%
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>>I know it can be done (AB does anything).
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>>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.
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>>TIA
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>>RZ
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