Hi Fred, Thank you for your suggestion & comment.
- Drawdowns 28% is certainly not low, but I actually have a 3% stop order built into my system. Since it is a daytrade system, each day the maximum I lose is 3%. (the 28% system drawdown is the result of series of losses in several days) So I am personally not too worried about it; it is a soft-landing rather than a hard-landing system. - Objective Testing I used to optimize my system with past 3 years of data(2003-2005). My CAR was 400% yet I was going broke. Why? Because my system encountered the infamous "curve-fitting" problem, where it generates impressive CAR in a given time frame, but completely fails to work outside the time frame. So I re-optimized my system with 10-year frame and, my return is now at 110%. I have also optimized with half data (2001 to end of 2005) and did some forward-testing between 2006/1/1 - 2006/4/13, but the result wasn't very good. In my opinion, 5 years of data isn't enough to escape from the curve-fitting problem. As far as I'm forward-testing the 10-year-optimized system, I'm getting 98% return between 2006/1/1 and 2006/4/13. So far, it is working just the way it is supposed to. Regards, intermilan04 --- In amibroker@yahoogroups.com, "Fred" <[EMAIL PROTECTED]> wrote: > > A Comment and a suggestion ... > > - DrawDowns ... I could be wrong but I suspect most people can't > tolerate 28% DD's ... To bring that number down to the point where > at least some people would be comfortable with it using real money > one would I think have to cut it half. Doing that with an existing > system by restricting how invested one is will result in the CAR > being reduced to the square root of its original number. > > - Objective Testing ... Take your data, cut in half ... Optimize > your system over half of the data and then test the parameter values > on the other half. This rudimentary view of out of sample testing > will give you some idea of what you are likely to experience in real > trading as opposed to totally in sample results. > > --- In amibroker@yahoogroups.com, "intermilan04" <intermilan04@> > wrote: > > > > Since I have optimized my system between 1996-2006, I guess the > > answer would be the same time period. > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > > > That doesn't answer my question ... > > > > > > In the development of the system what range of data ( time > period ) > > > did you use ? The same time period ? An earlier one ? > > > > > > --- In amibroker@yahoogroups.com, "intermilan04" <intermilan04@> > > > wrote: > > > > > > > > The numbers are the result of backtesting my system with > > > > NASDAQ and NYSE tickers (around 7000 tickers) between > > > > 1996/1/1~2006/1/1. > > > > > > > > --- In amibroker@yahoogroups.com, "Fred" <ftonetti@> wrote: > > > > > > > > > > Are the numbers you posted in sample or out of sample ? > > > > > > > > > > --- In amibroker@yahoogroups.com, "intermilan04" > <intermilan04@> > > > > > wrote: > > > > > > > > > > > > I know it depends on what you want personally for > risk/reward, > > > but > > > > > I'm > > > > > > curious as to what other people's systems (developed in > > > Amibroker) > > > > > are > > > > > > performing like. You don't have to share your code or the > idea > > > behind > > > > > > your system (unless you want to), but I'm curious. > > > > > > > > > > > > Over the last 10 years, say, what is your annual profit %, > max > > > > > > drawdown, % winning trades, etc.? > > > > > > > > > > > > I have a long system that has returned around 110% since > > > 1996. Its > > > > > > winning % is 47%, and the system drawdown is 28%. It is a > > > > > > reversal-based, swing-daytrade system. > > > > > > > > > > > > > > > > > > > > > ------------------------ Yahoo! Groups Sponsor --------------------~--> GFT Forex Trading Accounts As low as $250 with up to 400:1 Leverage. Free Demo. http://us.click.yahoo.com/lpv1TA/jlQNAA/U1CZAA/GHeqlB/TM --------------------------------------------------------------------~-> Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
