What is the Definition of Maximum Drawdown? If I played some more with it, I will post my findings (which won't be rocket science, that's for sure) in a thread.The Maximum Drawdown (MDD) quantifies the maximum downside risk of an investment portfolio across a given time period. I wont go as far as saying it's easy, but it's a lot easier and doable then I at first hand thought. I'm quite enthusiastic about it, especially since it looks so much like C# with which I have 'some' experience. I've just tried some Custom Criteria variations and this is an incredibly great feature (thanks MultiCharts!). Given up on optimization? Because of the problems with Custom Criteria or the limited Optimization Reports? ![]() The rationale behind this is that there always is a way to increase the number of trades (by trading more markets/instruments), so that if the Base SQN is good that's even an stronger indicator of a good strategy (in my opinion). I prefer using the 'Base SQN', which is the SQN without the TotalTrades component. However, I have only recently started live systematic trading and plan to stick to the parameters which stood best in forward testing, and manage the inevitable drawdowns on the basis of equity curve trading. Instead I kept looking until I found a setting which in forward tests returned average SQN of 3+ across a wide variety of instruments and a range of time frames. the one most overfitted) if it's isn't accompanied with other good performance metrics. I completely agree with you - the Optimization Report needs to provide a "multi dimensional" look at the optimization results, because as you've stated, focusing on one aspects only leads to the criteria least fitted for real-time trading (i.e. I am a para-programmer, and cannot be certain, but I think Custom Criteria uses some sort of Microsoft script. This Forum is largely a troubleshooting support, and I dare say BigMike has better MultiCharts stuff. I found the setting which was top of the list for more than one criteria stood up better than others in forward testing. ![]() ![]() But when I did I would generate an Optimization Report, convert it into an Excel file and then use the Excel "Sort" function to zero in on parameters which satisfied the most numer of criteria, for instance (PercentProfitable)*(AverageWin/AverageLoss) and Return on Account and Return on Maximun Strategy Drawdown. ![]() Strategy Performance Report could have feature(s) allowing one equity curve trading.Ĭan't think of anything else right now, but I have a fuller wish-list somewhere in my old hard drive from the time I used to test strategies by optimisations, calibrations, and similar things, and generated lots of MultiCharts reports. The Custom Criteria feature is not properly thought through and can only be a combination of the few reserve words. I have attempted many times to enable more than one Custom Criteria but failed. Strategy Optimization Report could (or allow a user to) measure strategy quality on the basis of Sharpe Ratio, or Sunny Harris's CPC Index (PercentProfitable)*(AverageWin/AverageLoss)*(ProfitFactor) to mention just two benchmarks both of which give better indication of a strategy quality than availible right now. It has been a while I have referenced these as nowadays I do most of my strategy analysis in Excel. What other features do you think the Performance Reports are missing?
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