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Well, IMO, it is absolutely not necessary to test against "all
stocks." Only a representative sample. And oh, BTW, the stocks of
some indices are more representative than random samples, not to
mention more tradeable. I hear you on the looking into the future
argument but that was more applicable before Mar 00. I don't see a 5
year "major long bias" when I scroll through the ND100 stocks. But I
do see a lot of bear.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> 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.
>
> 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.
>
> 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.
>
> dave
> Dead silence on a question of seemingly high importance means you
have
> asked a dumb (really dumb) question. Maybe like letting a loud
fart in
> church.
>
> I'll go back to Chande and other sources and try to determine why
my
> question below was such a dumb one.
>
> Thanks for taking pity on me and not saying anything.
>
> Ken
>
> -----Original Message-----
> From: Ken Close [mailto:closeks@x...]
> Sent: Tuesday, November 18, 2003 11:03 AM
> To: AmiBroker List
> Subject: [amibroker] Optimizing Selection Criteria vs Timing
Signals
>
> Here is a (perhaps) semi philosophical question:
>
> We are familiar with the various pitfalls and prohibitions in
optimizing
> and "curve-fitting" timing systems.
>
> Do the same pitfalls and prohibitions exist for keeping a constant
> timing signal (whatever it is) yet optimizing variables that alter
> basket selection criteria? Can you "curve fit" a set of selection
> criteria?
>
> It "feels" like the problems would be different (and perhaps
minimized)
> because of the dynamic changes that occur, ESPECIALLY if stop
conditions
> are used. OTOH, I suppose it would not be different using the
same
> criteria on the same basket of stocks over the same time period
as this
> would yield the same baskets of stocks each time. What I mean by
that
> is that for a given combination of criteria, the same stocks
would be
> selected.
>
> Hard to visualize.
>
> Any comments on this aspect?
>
> Ken
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