On Sun, Jun 19, 2011 at 6:10 PM, nonlinear <[email protected]> wrote:
> There is another, more subtle problem with the max DD measure, which is > that by reshuffling the same trades of the same strategy you would get > drastically different max DD figures. It's as though the same strategy > suddenly changes from "good" to "bad" by simply rearranging the trades in > time. In reality, it's still exactly the same strategy, with exactly the > same risk/reward profile. > > You can believe that drawdowns will happen randomly, or not randomly. I tend to believe it is somewhere in the middle. I brought this up because I have been optimizing some strategies pretty heavily the past couple days, and I noticed that there were many combinations that produced the same high levels of overall profit, but some areas had higher draw-downs than others. The behavior didn't seem to be randomly distributed in the optimization map, rather, I think its clustered, but there isn't a good way to verify this visually. Then I randomly came across this Sterling Ratio measurement, which appears that it may be useful in exploring the data. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
