[amibroker] Individual parameters for each stock (for Dingo and others)

["Chuck Rademacher" <chuck_rademacher@xxxxxxxxxx>]

I have 
stated my views on this board relating to whether or I use an individual 
set of parameters for each stock.   May I suggest a method that anyone 
interested can use to prove to themselves whether the concept works or 
not?
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Try 
something like this:
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Pick a 
system... your favourite system.   For sake of conversation, I'll use 
a simple moving average crossover system with two parameters.  One for each 
moving average period.
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Now, 
select the 100 stocks that you think really work well with that 
system.
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Then, 
optimize that system over those 100 stocks over any period you like, leaving at 
least one following year of historical data.
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Set 
your parameters and trade those individual parameters for one year 
out-of-sample.
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Then, 
optimize that same system to find the single best parameter set over the same 
optimization period.
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Apply 
that single parameter set to all stocks and trade forward one year 
out-of-sample.
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Which 
method gives your the best out-of-sample results?      

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If you 
get crappy results using BOTH approaches (as I think you would with a moving 
average crossover system), then the system sucks and you should move on to 
something that works a bit better.   If the "individual parameters" 
works best, then continue to use that approach... if that's what you are 
doing.
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Just 
my thoughts...






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