Calculate a Fair Equity Curve

February 10th, 2014, 01:28 PM

I would like to calculate a Fair Equity Curve as a comparison for testing a trading system against.

My current EC doesn't seem fair, what I do is sum up the points for each bar from OPEN to CLOSE. I don't take into account that a trade needed to take place to reverse my position, so an UP/DOWN/UP/DOWN on every other bar will be very profitable based upon my calculated EC, but you would not want to trade that since it is really CHOP.

My thought is that I should be including a fair SLIPPAGE as well as COMMISSION when creating the EC. I should probably only enter on a bar that is a change in direction, rather than enter/exit on every bar to include the full # ticks within the EC> I also wonder if the slippage is high and a bar is only 1 tick, should I ignore it for that bar and move on based upon my entry?

Any thoughts?

February 10th, 2014, 01:37 PM

NJAMC

I would like to calculate a Fair Equity Curve as a comparison for testing a trading system against.

My current EC doesn't seem fair, what I do is sum up the points for each bar from OPEN to CLOSE. I don't take into account that a trade needed to take place to reverse my position, so an UP/DOWN/UP/DOWN on every other bar will be very profitable based upon my calculated EC, but you would not want to trade that since it is really CHOP.

My thought is that I should be including a fair SLIPPAGE as well as COMMISSION when creating the EC. I should probably only enter on a bar that is a change in direction, rather than enter/exit on every bar to include the full # ticks within the EC> I also wonder if the slippage is high and a bar is only 1 tick, should I ignore it for that bar and move on based upon my entry?

Any thoughts?

Not sure if this will hep or not, but:

NinjaTrader Optimizer Types (Custom Fitness)

I'd like to talk about optimizer types (mainly for Ninja, but general math and ideas apply here as well).

I'll be back to discuss what I use and why later.

Mike

Look at the optimizers that Luger did for me for equity curve. It basically looks at standard deviation to generate the most linear curve in the traditional manner.

Mike

Calculate a Fair Equity Curve

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Calculate a Fair Equity Curve