> On the other hand, the sandard deviations of the returns and the number of > trades is irrelevant for APD. These are, among the returns, the > cornerstones of PI. > The best thing would be to have a combination of these two measurements. > What do you think? >
I agree. The most relevant metrics to me are PI, Kelly, APD, and average duration. In the next release, all four of these will be reflected in CPI (cumulative performance index). > Anyway please take a close look at my code. > In about a week, I am planning to release another JBT version. That will have my implementation of the MaxDD and APD. I suggest we take it as base and see if it agrees with your MaxDD calculations. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
