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<FONT face=Arial color=#0000ff
size=2>Dave,
<FONT face=Arial color=#0000ff
size=2>
You
and I are certainly singing from the same hymnal. Thanks for saying
it so succinctly!
<FONT face=Arial color=#0000ff
size=2>
IMO,
we should always be backtesting against all stocks with all of the filtering
going on in the AFL. Not that there's anything wrong with
preliminary testing on a (random) subset. My stock database (that I
use with AB) now contains 17,000 stocks including about 9,000 de-listed
stocks. I have random subsets of that database comprising 2,000,
5,000 and 11,000 stocks that I use when I'm in a hurry to see some
results.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Tuesday, November 18, 2003 8:59
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Optimizing Selection Criteria vs Timing Signals
<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?KenSend
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