RE: [amibroker] Optimizing Selection Criteria vs Timing Signals

["Dave Merrill" <dmerrill@xxxxxxx>]

<SPAN 
class=579214201-19112003>not chande, don't play him on tv, but here's my take 
fwiw. IMO, the selection of the initial universe to test is the result of 
another set of filters with another set of parameters that aren't being talked 
about at the moment, and are just as subject to (over)optimization as anything 
else.
<SPAN 
class=579214201-19112003> 
<SPAN 
class=579214201-19112003>most fixed universes smaller than All Stocks are really 
hard to backtest reliably without bias, so I don't when I'm testing for 
real. for example, testing in '98 using the '03 N100 is looking into the 
future and selecting only stocks that ended up big 5 years later -- a major long 
bias. even if you have historical N100 membership data, for example, it's 
hard to apply it on a continuous basis over the life of a 
test.
<SPAN 
class=579214201-19112003> 
<SPAN 
class=579214201-19112003>so, I often test ideas out on small subsets for speed, 
but nearly always plan on running against all stocks eventually, and build in 
the criteria needed to narrow the stocks considered as required. if you do 
anything else, I'd suggest it needs some careful thought.
<SPAN 
class=579214201-19112003> 
<SPAN 
class=579214201-19112003>dave
<BLOCKQUOTE 
>Dead 
  silence on a question of seemingly high importance means you haveasked a 
  dumb (really dumb) question.  Maybe like letting a loud fart 
  inchurch.I'll go back to Chande and other sources and try to 
  determine why myquestion below was such a dumb one.Thanks for 
  taking pity on me and not saying anything.Ken-----Original 
  Message-----From: Ken Close [mailto:closeks@xxxxxxxx] Sent: Tuesday, 
  November 18, 2003 11:03 AMTo: AmiBroker ListSubject: [amibroker] 
  Optimizing Selection Criteria vs Timing SignalsHere is a (perhaps) 
  semi philosophical question:We are familiar with the various pitfalls 
  and prohibitions in optimizingand "curve-fitting" timing 
  systems.Do the same pitfalls and prohibitions exist for keeping a 
  constanttiming signal (whatever it is) yet optimizing variables that 
  alterbasket selection criteria?  Can you "curve fit" a set of 
  selectioncriteria?It "feels" like the problems would be different 
  (and perhaps minimized)because of the dynamic changes that occur, 
  ESPECIALLY if stop conditionsare used.  OTOH, I suppose it would not 
  be different using the samecriteria on the same basket of stocks over the 
  same time period  as thiswould yield the same baskets of stocks each 
  time.  What I mean by thatis that for a given combination of 
  criteria, the same stocks would beselected.Hard to 
  visualize.Any comments on this 
aspect?Ken






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