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Al: do you always optimize on a group of
stocks? sort of getting the “average optimization”? I suppose you
would consider it over optimizing to optimize single stocks and then use script
to apply each stock’s set of optimized coefficients to the list of stocks
in a watchlist?
Ken
-----Original Message-----
From: Avcinci
[mailto:avcinci@xxxxxxxxxxx]
Sent: Thursday, February 06, 2003
6:01 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
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
----- Original Message -----
<span
>From:<font
face=Arial> <a
href="" title="gkavanag@xxxxxxxxxxxxxx">Graham
To:<span
> <a href=""
title="amibroker@xxxxxxxxxxxxxxx">amibroker@xxxxxxxxxxxxxxx
Sent:<span
> Thursday, February 06, 2003 5:33 PM
Subject:<span
> RE: Stock Selection was: [amibroker] Re: NDX / QQQ -
Can it be traded ?
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
>Cheers,
<span
>Graham
<span
>-----Original Message-----
From: dingo
[mailto:dingo@xxxxxxxxxx]
Sent: Friday, 7 February 2003 6:12
AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<span
>
<span
>Al, that reminds me of
something I've been wondering about:
<span
>
<span
>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"?
<span
>
<span
>???
<span
>
<span
>d
-----Original
Message-----
From: Avcinci
[mailto:avcinci@xxxxxxxxxxx]
Sent: Thursday, February 06, 2003
5:04 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<span
>Fred,
<span
>
<span
>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.
<span
>
<span
>Of course, then the next logical question is, what if
you want to optimize 4 variables at once? :-))
<span
>
<span
>AV
<span
>
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