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R-Cubed
Posted: Mon Aug 17, 2009 11:06 pm
by LeviF
Has anyone else noticed the time component of R-Cubed makes it sort of a finicky objective function? I'm thinking RAR / avg max DD might be a more robust measure. I think that the length of DDs is already implicitly included in this measure anyways. A system with longer DDs is going to have a lower RAR by nature.
Posted: Mon Aug 17, 2009 11:43 pm
by sluggo
Yet more evidence supporting my theory that no two traders can agree on what a "good" trading system's measured characteristics might be. This is why there are so many different ways to measure goodness (what Blox calls "Test statistics") -- because everybody has their own unique and idiosyncratic way to define and measure That-Which-Is-Good. Fortunately, software like Wealth-Lab and Blox provides a way for users to program their own personal favorites. Blox's "test statistics" are Wealth-Lab's "Perf Scripts", boo yah. You can program a measure of goodness, exactly & precisely YOUR WAY, and all other traders be damned. Books (such as "Way of the Turtle") be damned too.
I recommend you research "Peter Martin" and his "Ulcer Index" for additional inspiration in the art of unique and highly individualistic "what do *I* mean by GOOD" definitions. Then poke into "Lars Kestner" and his "K-Ratio". Bob Pardo and his "Percent Of Perfect Profit." Ed Seykota and his "Lake Ratio". Cynthia Kase and her K-Stats. Gosh there sure are a lot of these.
Posted: Tue Aug 18, 2009 4:30 am
by Asamat
As alway, Sluggo, you have a point. Still, I agree with levijean. R-cubed sometimes changes rather a lot, just because the length component changed a lot, while all other characteristic numbers are very similar. Therefore I now use both numbers, but I rely more on the ratio levijean mentioned. I call it rMAR.
Posted: Fri Oct 23, 2009 2:20 pm
by corvus
Asamat wrote:As alway, Sluggo, you have a point. Still, I agree with levijean. R-cubed sometimes changes rather a lot, just because the length component changed a lot, while all other characteristic numbers are very similar. Therefore I now use both numbers, but I rely more on the ratio levijean mentioned. I call it rMAR.
Why stop there? Why not Robust Sortino?
Posted: Mon Nov 02, 2009 4:12 pm
by Asamat
corvus wrote:Why stop there? Why not Robust Sortino?
What for?
I need some measures to compare systems and parameter settings. They have to be few in number, simple and robust.
I don't use most of the measures with the fancy names, where I have to look up the definition time and again.