> K-Ratio is often mentioned for this purpose. There are a couple of quicky files on K-ratio in the file section of this forum - I took notes from Klestners book and posted them there a while back.
>From memory the spreadsheet is exactly as written in his book but I think there is a typo error and you have to delete the cell/row marked in yellow. Hold the bus though. I don't think K-ratio is the best way to do it (it might be quick and approximate enough for what you want). I will have to have a closer look at K-ratio first. brian_z --- In [email protected], "Mike" <[EMAIL PROTECTED]> wrote: > > K-Ratio is often mentioned for this purpose. > http://trader.online.pl/TST/shape_ratio_k-ratio_rina_index.htm > > Mike > > --- In [email protected], Dennis Brown <see3d@> wrote: > > > > Hello, > > > > I have my system for intraday trading complete enough that I need > to > > start selecting goodness criteria for comparing variations. I > have > > selected a number of metrics to display in realtime for an n day > > backtest like: > > > > total trade count > > average bars per trade > > winning trade % > > trade bars % in green > > best trade $ > > worst trade $ > > average win $ > > average loss $ > > *total profit $ > > *max draw down $ > > *EDGE (average $ per trade) > > *I have a graph of the cumulative profit over time and an overlaid > > straight line plot. This is the most powerful tool, because it > lets > > me see the real character of the system. The straighter the line, > the > > less likely it is over fit to the data and represents a robust > system. > > > > I also have a graph of the trade equity on a trade by trade basis, > so > > I can see how good the entry timing is and how a trade progresses > on > > average or in outlier conditions. > > > > The * items are my key metrics for system comparison. This simple > > system runs completely in indicator mode. I test about 1000- 2000 > > trades over a 10 week test period. > > > > Because of the type and manner of my trades (1 futures contract > only > > traded during market hours), the data is easy to judge for > goodness. > > Since every day is an island, I could even use interesting random > day > > strategies for in and out of sample data, but so far I just use > > various sequential segments. > > > > However, when I am spinning my scroll wheel on parameters while > > looking at my charts, it would be nice to have a number that > > represents how straight the equity curve is as a first pass -- > > especially for when I partially automate the optimization process > later. > > > > I thought I would just take the standard deviation of the whole > curve > > to the straight line. This is easy. But I think some of you have > > given this problem a lot of thought and I figured one of you may > have > > some additional insights into the best method for getting a > meaningful > > number for straightness/smoothness of the equity curve. So here I > put > > the question to you now with an open mind, before I become set in > my > > ways ;-) > > > > Best regards, > > Dennis Brown > > >
