Aleks Clark wrote:>>> As part of a project I'm working on that uses genetic algorithms to
optimize trading parameters, I find myself seeking a way to evaluate
the equity curve that results from a given set of trading rules. It
seems to be an obvious area of research, so I was wondering what's
available in R-land or just in the world of finance in general. I've
poked around with splines as a way to express how 'nice' an equity
curve is (steady upward rise as opposed to a "jagged" line), but I
feel that there are probably better ways to do things...
Having worked both in quantitative trading and in more traditional
asset management roles, I've never quite understood the artificial
distinction between "equity curves" and any other kind of returns. In
my experience, all the usual performance and risk analysis tools
(amply provided for in R) as well as attribution (e.g. Bacon, much of
which is implemented in fPortfolio) are equally applicable to trading
strategies as they are to more traditional investment. Also see Pat
Burns' paper on evaluatinfg trading strategies for additional ideas.
Regards,
- Brian