Equity Curve Filtering

Questions about MultiCharts and user contributed studies.
cael
Posts: 89
Joined: 06 Sep 2006
Has thanked: 2 times

Equity Curve Filtering

Postby cael » 04 Mar 2008

I looked around and there are some people filtering the equity curve. For example if the curve is below the 10 sma, don't take the trade and if above take the trade.

If MC can allow a what if report of this kind and show how system performance was improved ... well I just think it would be a fun feature! :D

Rgds

brodnicki steven
Posts: 407
Joined: 01 Jan 2008
Been thanked: 3 times

Re: Equity Curve Filtering

Postby brodnicki steven » 04 Mar 2008

I looked around and there are some people filtering the equity curve. For example if the curve is below the 10 sma, don't take the trade and if above take the trade.

If MC can allow a what if report of this kind and show how system performance was improved ... well I just think it would be a fun feature! :D

Rgds


I think filtering by average profit/trade might work well too.

User avatar
gautama2
Posts: 96
Joined: 10 Jul 2007
Has thanked: 1 time
Been thanked: 1 time

Re: Equity Curve Filtering

Postby gautama2 » 05 Mar 2008

I looked around and there are some people filtering the equity curve. For example if the curve is below the 10 sma, don't take the trade and if above take the trade.

If MC can allow a what if report of this kind and show how system performance was improved ... well I just think it would be a fun feature! :D

Rgds


Look at Market System Analyzer. www.adaptrade.com/product.htm

kevin kolodzy
Posts: 64
Joined: 25 Jan 2008

Postby kevin kolodzy » 05 Mar 2008

It would be very nice to have the ability to plot a moving average or other function on the performance report equity curve, and even better if this could be tied into strategy operation or what-if simulations. (You can play with this by exporting the information to Excel and calculating a moving average, then plotting both.)

I would be happy to get the "I_" functions implemented so I can plot an equity curve in an indicator on the chart itself, along with a moving average of the equity curve.

However, equity curve filtering CAN be coded into a strategy with the currently available functions, but it is a very long and complex coding project. I have added this capability to my strategies, and it is useful sometimes. It can improve some moderately successful strategies, but has little impact on a very good strategy except perhaps as a fail-safe trading cutoff (which can also be accomplished in other ways). It can also do more harm than good, depending on the pattern of trades - if any.


Return to “MultiCharts”