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dingo wrote:
> are you doing this via automation? Based on TJ's last response on this I
> could write you a script to handle this if you'd like?
>
> d
>
Dale:
This is very interesting. I didn't know you could do this in AB. Suppose
you were working with a portfolio of, say, 6 stocks, and each stock had
its own optimized parameter values. Suppose also that your positionsize
statement for portfolio backtests is:
PosQty = Optimize("PosQty",6,2,20,1);
PositionSize = -100/PosQty;
When you optimize each of the stocks individually and automatically as
TJ suggests, do you set the default PosQty to 1 first or do you keep it
at 6? Do you also disable your positionscore statement during
optimizations (since you are optimizing individual stock parameter
values, so you don't really need the positionscore during
optimizations)? So, how would this idea be implemented in a practical
sense?
Al Venosa
[Non-text portions of this message have been removed]
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