Greetings Ramon, Graham, and all --
You are probably already aware, but many will not be.
There is danger in multistep optimization when the second step is applied to
the results of the first step, all of the out-of-sampleness has probably
been used up. Be certain to reserve some additional
I asked the same question recently, custom backtester code for r-squared of the
equity curve can be found here:
http://finance.dir.groups.yahoo.com/group/amibroker/message/141718
cheers
Ramon
--- In amibroker@yahoogroups.com, grahamj42 graham.john...@... wrote:
Not sure if this is what you
Not sure if this is what you are after, but this one of my current projects.
1. define variable PassNum - normally set to 1
2. using CBT, define/create system specific equity curve
3. run backtest
4. set PassNum = 2
5. using PassNum Foreign, apply an indicator to the equity curve and use this
I agree it would be an interesting choice - only issue is that, as far as I can
see, the backtester does not allow that kind of targeting.
--- In amibroker@yahoogroups.com, woodshedder_blogspot
woodshedder_blogs...@... wrote:
Droskill,
What about R squared?
--- In
KRatio is measurment of the smoothness of the Equity curve which works
fine for systems that dont compound ...
For systems that do you could calculate your own KRatio based on the log
of equity
On Wed, Oct 14, 2009 at 8:36 AM, droskill wrote:
I agree it would be an interesting choice
Droskill,
What about R squared?
--- In amibroker@yahoogroups.com, droskill drosk...@... wrote:
Hey all -
One of the things I would love to optimize around is equity curve smoothness
- but I don't see any parameter that really matches with that. Drawdown is
an obvious one as a smooth
