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Dale:
I'd start by first asking myself what is the range that a particular
variable is most likely to be bounded by. For example, in your MA example, you
should ask if it is feasible to even consider MA's greater than 70 (which is 14
weeks) and less than 10? So, right away, you've eliminated everything less than
10 and greater than 70 just by reasoning. Do that for all the other 4 or 5
variables so that you have a reasonable range upon which to optimize each.
Then, start out with large steps (perhaps stepsizes of 10 for the MA example,
giving you 7 steps for that variable). If you can get by with, say, 5 steps
for each of the other 4 variables, that would give you 5*5*5*5*7 or 7168
optimization steps. That's a lot of optimization steps if you are optimizing
over a watchlist of 500 or so stocks. So, maybe you should select just a few
stocks to start off with (say 10 or so, or maybe even just 1!) , just to get
gross approximations. You can then fine tune from there. Or, use Graham's
approach and do it in batches. Or, better yet, use the KISS principle and trash
one or more of your indicators and limit the variables to no more than 3!
:-))
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanag@xxxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, February 06, 2003 5:33
PM
Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<SPAN
>I had a case like
that and found it easier to do in small batches of closely interactive
variables, then go through the batches as an iterative process. I found that
by doing this it took about 3 passes to find best results without further
changes occurring in each batch.
<SPAN
>
<SPAN
>Cheers,
<SPAN
>Graham
<SPAN
>
<SPAN
>-----Original
Message-----From: dingo
[mailto:dingo@xxxxxxxxxx] <SPAN
>Sent: Friday, 7 February 2003 6:12
AMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<FONT face="Times New Roman"
size=2>
<FONT face=Tahoma color=red
size=2>Al, that
reminds me of something I've been wondering about:
<FONT face="Times New Roman"
size=2>
<FONT face=Tahoma color=red
size=2>Say you
have 5 0r 6 variables and the number of resultant optimizations is so big and
my computer is so slow that its not practical to run the optimization.
Would you increase the step size to such an extent that it was barely
tolerable and then try to zoom in on the "zones" or would it be possible
to split that one big optimization into 2 parts and then combine them?
If so how do you design the parts so that you don't miss the "sweet
spot"?
<FONT face="Times New Roman"
size=2>
<FONT face=Tahoma color=red
size=2><SPAN
>???
<FONT face="Times New Roman"
size=2>
<FONT face=Tahoma color=red
size=2><SPAN
>d
<P class=MsoNormal
><FONT
face=Tahoma size=2><SPAN
>-----Original
Message-----From: Avcinci
[mailto:avcinci@xxxxxxxxxxx] <SPAN
>Sent: Thursday, February 06, 2003 5:04
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<FONT face="Times New Roman"
size=2>Fred,
<FONT face="Times New Roman"
size=2>
<FONT face="Times New Roman"
size=2>There is another way, taught to me by
Herman. You can plot a 3D graph of X and Y at Z=1 in Excel. Then, create
another plot of X and Y at Z=2. Keep doing this until you get 10 3D plots.
Then, paste each of the 3D plots at each Z value adjacent to the each other
so you can view all 10 of the 3D plots on one page. This is also how Steve
Notis does it in Powerkit, except he doesn't use Excel. TJ told me he is
working on a similar 3D optimization graphics capability in AB that is even
better than Powerkit's. So, be patient and wait for Tomasz's
development.
<FONT face="Times New Roman"
size=2>
<FONT face="Times New Roman"
size=2>Of course, then the next logical
question is, what if you want to optimize 4 variables at once?
:-))
<FONT face="Times New Roman"
size=2>
<FONT face="Times New Roman"
size=2>AV
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