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No
worries, Dave.
<FONT face=Arial color=#0000ff
size=2>
It's
quite easy, thanks to AB. I just ran an exploration and assigned
(addtocolumn) a random number to each stock. I then sorted the
stocks by that column and picked off however many stocks I wanted in my
list.
<FONT face=Arial color=#0000ff
size=2>
Yes,
the results correlate quite nicely, unless the system isn't very
"robust". Of course, some systems simply need a lot of stocks in
order to perform well. I guess I'm saying the the number of
positions (PosQty as most of us use) should be adjusted depending on the size of
the database. If I expect PosQty to be about 15 for the entire universe,
then I'll set it to about seven for half the universe and so
on.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Tuesday, November 18, 2003 10:45
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Optimizing Selection Criteria vs Timing Signals
<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
>
<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>
<FONT
color=#0000ff>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.<SPAN
class=104414103-19112003> 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.<SPAN
class=104414103-19112003><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?KenSend
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