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Amibroker's Optimize() feature is incredibly powerful, but of course
when you are optimizing against a number of independent variables,
and each variable has a fair range, the geometric explosion gives
rise to an intimidating amount of time for an exhaustive search.
I believe Wealth-Lab has a 'Monte Carlo' option that randomly picks
values for each of the optimized variables (within their range,
according to the step). The simulation runs for as many iterations
as you want (you manually stop it) and then it sorts the simulation
runs by net profit. This allows you to search a large space of
variables, albeit imperfectly.
What do you think? Would that be useful? I would imagine it would
relatively straightforward to implement (since Tomas has already done
all the hard work of setting it up for optimization).
Amibroker is an amazing tool - thanks to Tomas for all his great
work!
Regards,
David
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