On Friday, August 9, 2013 12:53:00 AM UTC+2, Eugene Kononov wrote: > > > 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. > > > Hi Eugene,
did you already implement a metric that includes drawdown that you could share? Since August I made no more tests because of this (and also because I have very little time as two small companies somehow depend on my work). But I would love to make some optimizations that include drawdown. Thank you, Alexander -- 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.
