Greetings --
Be careful. In-sample results always underestimate risk and overestimate profit. Metrics such as the one described are sequence dependent and always underestimate risk and overestimate profit. If you do decide to select a model based on in-sample results using this metric, carefully validate the model That is, test performance on data that has not been used in deriving the model.
On Wed, Jul 13, 2016 at 5:48 PM, handasa_mmam2@yahoo.com [amibroker] <amibroker@yahoogroups.com> wrote:
RRRR IS AN OPTIMIZATION METRIC DESCRIBED ON THE BOOK ( WAY OF TURTLE BY CURTIS M. FAITH) WHICH ONE I THINK IS BETTER THAN ALL METRICS IN AMIBROKER
RRRR= (RAR%) / (AVERAGE MAXIMUM DRAWDOWN PERCENT) *AVERAGE MAXIMUM DRAWDOWN LENGTH
AVERAGE MAXIMUM DRAWDOWN PERCENT = SUM OF LARGEST 5 DRAWDOWN PERCENTS DURING OPTIMIZATION /5;
AVERAGE MAXIMUM DRAWDOWN LENGTH = SUM OF LONGEST 5 DRAWDOWN DURING OPTIMIZATION /5;
CAN SOMEONE KINDLY WRITE A CUSTOM BACKTES/OPTIMIZATION METRIC THAT CAN BE USED IN AMIBROKER
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Posted by: Howard B <howardbandy@gmail.com>
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This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
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