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Franco, what you said about variance is absolutely correct but first,
I don't believe there is a "true" value. And second, larger is not
always better because large sample sizes can make small differences
that are not important statistically significant. So interpretation
can be critical.
--- In amibroker@xxxxxxxxxxxxxxx, Franco Gornati <francogornati@xxxx>
wrote:
> quanttrader714 wrote:
> > Well, IMO, it is absolutely not necessary to test against "all
> > stocks." Only a representative sample.
>
> Mark, yes it's not necessary to test against 'all stocks' but if you
are
> trying to estimate some parameters then the largest the sample the
> narrower the variance of the estimator (assuming there is a 'true'
value).
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