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Ken,
I used to, but not for awhile now. No, I do not think it is over-curve
fitting to optimize on a single stock. Six or eight months ago, I would have
thought this statement was heretical. But no more. In fact, I've been optimizing
on single stocks for some time now. I feel that each stock has its own
personality, which I've spoken of before on this forum. You might try optimizing
on a watchlist of stocks to get the average parameter values. But having done
that, when it comes time for you to pick the small percentage of stocks to
actually trade (obviously you can't trade all 500 stocks in your watchlist), I
think optimizing the parameters on those stocks individually would maximize your
profitability when trading them as a portfolio. When you optimize on the whole
watchlist, some that don't behave well at all or are actually real losers
rather than winnerss will negatively affect the parameters of those that do
behave well. So, why not optimize on individual stocks? As long as the
parameters are robust and provide good equity curves with low dd's over
different market conditions, the system should be tradeable even though its
parameters are customized on individual stocks. I'd like to hear others'
opinions about this because my thoughts are still evolving on this matter.
Thanks for asking.
Al
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, February 06, 2003 8:17
PM
Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<SPAN
>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?
<SPAN
>
<SPAN
>Ken
<SPAN
>
<SPAN
>-----Original
Message-----From: Avcinci
[mailto:avcinci@xxxxxxxxxxx] <SPAN
>Sent: Thursday, February 06, 2003 6:01
PMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: Re: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<SPAN
>
<SPAN
>Dale:
<SPAN
>
<SPAN
>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!
:-))
<SPAN
>
<SPAN
>AV
<SPAN
>
<SPAN
>
<BLOCKQUOTE
>
<SPAN
>----- Original Message -----
<FONT face=Arial
size=2><SPAN
>From:<FONT
face=Arial> <A
title=gkavanag@xxxxxxxxxxxxxx
href="">Graham
<SPAN
>To:<FONT
face=Arial> <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
<SPAN
>Sent:<FONT
face=Arial> Thursday, February 06, 2003
5:33 PM
<SPAN
>Subject:<FONT
face=Arial> RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?
<SPAN
>
<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
>
<FONT face="Times New Roman" color=navy
size=2><SPAN
>Cheers,
<FONT face="Times New Roman" color=navy
size=2><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
<BLOCKQUOTE
><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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