[Komunitas AmiBroker] Pilih CAR atau CAR/MDD ??

Halo all,
Seperti sudah sering disinggung di milis ini, target kita dalam
melakukan Optimization atau Walk Forward biasanya CAR atau CAR/MDD.
Dan biasanya untuk melakukan Optimization atau Walk Forward pada
parameter yang banyak kita pasang "Smart (non-exhaustive)
optimization" supaya tidak memakan waktu yang lama. Dijelaskan dalam
Help nya Ami sbb:
(Optional) Select your optimization target in Automatic Analysis,
Settings, "Walk-Forward" tab, Optimization target field. If you skip
this step it will optimize for CAR/MDD (compound annual return divided
by maximum % drawdown).

dan

How does it work ?
The optimization is the process of finding minimum (or maximum) of
given function. Any trading system can be considered as a function of
certain number of arguments. The inputs are parameters and quotation
data , the output is your optimization target
(say CAR/MDD). And you are looking for maximum of given function.

Ternyata benar, target yang berbeda menghasilkan result yang berbeda pula.
Sebagai contoh :
1.
saya memilih Target=CAR menghasilkan
CAR=290%
MDD=-44%
CAR/MDD= 6,53

2.
sedangkan dengan milih Target=CAR/MDD
CAR=120%
MDD=-14%
CAR/MDD= 8,11
agar adil result dengan men-sort best CAR sbb:
CAR=255%
MDD=-44%
CAR/MDD= 5,76

Jadi ada perbedaan (walaupun tidak terlalu signifikan)

Tapi apa ada cara untuk memilih target optimasi misal:
min CAR = 100%
min MDD =10%

Mohon petunjuk teman-teman.

------------------------------------

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