How to select for smoother equity curves

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How to select for smoother equity curves

Postby mandelmus » Fri Feb 17, 2012 10:25 pm

Which results should I be looking at and/or which settings should I be adjusting to get smoother equity curves?
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Re: How to select for smoother equity curves

Postby Overload » Sat Feb 18, 2012 10:01 am

I have found that unrealized equity/drawdowns is useful for creating smooth lines. However, smooth lines often lead to overfitting, so you have to pay extra attention to that when smooth lines are a goal.

Pete
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Re: How to select for smoother equity curves

Postby mandelmus » Sat Feb 18, 2012 4:30 pm

ok, but which criteria/measures should I use in determining the straightness of the equity curves (realized or unrealized) (standard deviations, kurtosis, skew, sharp ratio, etc.)?
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Re: How to select for smoother equity curves

Postby Dacamic » Sat Feb 18, 2012 6:41 pm

I am guessing that Pete is referring to a custom filter he built for his OneClick searches. I use something similar: $F_MCAvgAnnReturn / $F_MCAvgDrawdown.
Steve
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Re: How to select for smoother equity curves

Postby Overload » Sun Feb 19, 2012 12:16 pm

Yes, I often use: $F_AvgAnnReturn / $F_MaxDrawDU. In the Detailed Analysis, Summary tab, it is also possible to enter the Views setup and add this calculation as a Custom Column. You can then have it display as a column in the Summary tab.

Pete
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Re: How to select for smoother equity curves

Postby mandelmus » Thu Feb 23, 2012 3:47 pm

Overload wrote:Yes, I often use: $F_AvgAnnReturn / $F_MaxDrawDU. In the Detailed Analysis, Summary tab, it is also possible to enter the Views setup and add this calculation as a Custom Column. You can then have it display as a column in the Summary tab.
Pete


Thanks, so where do I enter those formulas? I thought I saw something about this in the help file, but I can't locate it now. ... ok, found the place already
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Re: How to select for smoother equity curves

Postby Overload » Fri Feb 24, 2012 9:52 am

On the Summary tab of the Detailed Analysis, click the Views button in the upper right. After updating the View of your choice, you'll see an Add button that allows you to create a Custom Column.

Pete
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Re: How to select for smoother equity curves

Postby Jaded » Fri Feb 24, 2012 11:45 pm

Shouldn't this be:

$AvgAnnReturn / $MaxDrawDPctU

So that it is generic to whether you are viewing fixed/variable/etc reports and also comparing percents to percents?
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Re: How to select for smoother equity curves

Postby Dacamic » Sat Feb 25, 2012 12:29 am

Jaded wrote:Shouldn't this be:

$AvgAnnReturn / $MaxDrawDPctU

So that it is generic to whether you are viewing fixed/variable/etc reports and also comparing percents to percents?

I had to ponder this for a few moments before reaching a "definite maybe" on your suggestion.

The formula you described would indeed provide flexibility to view the resulting values across the different types of reports in the Detailed Analysis. However, a OneClick search requires the Evaluation Field to reference a specific report type. So, "generic" report values and "specific" evaluation criteria would match only when viewing the type of report defined in the OneClick setup. I'm a little reluctant to steer users down a path that might lead to confusion when they forget -- or aren't aware of -- the possibility of this mismatch. Personally, I prefer to keep variables of this nature to a minimum; thus, I use the formulas as written by Pete and I. That, though, is my personal preference.

Yeah, the Pct-to-$ comparison is a little bit of a head scratcher. I'm guessing Pete had a typo in his response.
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Re: How to select for smoother equity curves

Postby Overload » Sat Feb 25, 2012 10:06 am

Shouldn't this be:

$AvgAnnReturn / $MaxDrawDPctU


That was indeed a typo, and I should have said this: $F_AvgAnnReturn / $F_MaxDrawDPctU

Whether or not you want it to be set specifically to what you're using in your OneClick, or flip between Fixed Trade Equity and Variable Trade Equity depending on your Report in the Detailed Analysis is a personal choice. I wasn't really making a recommendation on that aspect of it, but you're right to point out that option.

Pete
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Re: How to select for smoother equity curves

Postby mandelmus » Mon Feb 27, 2012 12:40 pm

Is there a way to sort each column ascending/descending on the "Detailed Analysis > Summary" tab?
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Re: How to select for smoother equity curves

Postby Overload » Tue Feb 28, 2012 10:10 am

Sorry, but no. The Summary tab is sorted by Portfolio Size only at this time.

Pete
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Re: How to select for smoother equity curves

Postby mandelmus » Wed Feb 29, 2012 4:15 am

ok, please consider that feature in future versions

also, found Kreslik's approach to analyzing equity curve smoothness here ... http://kreslik.com/forums/viewtopic.php?t=20
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