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<SPAN
class=104414103-19112003>Chuck, not to be lazy, but how did you go about
creating your random subsets? have you found that results from them correlate
well to All Stocks?
<SPAN
class=104414103-19112003>
<SPAN
class=104414103-19112003>dave
<SPAN
class=104414103-19112003>
<BLOCKQUOTE
>
You
and I are certainly singing from the same hymnal. Thanks for
saying it so succinctly!
<FONT face=Arial color=#0000ff
size=2>
<FONT
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.<FONT
face="Courier New"> 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.<FONT
face="Courier New">
<BLOCKQUOTE
>
<FONT face="Courier New" color=#0000ff
size=2>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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