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Hello,
> 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?
In individual optimization each symbols is backtested individually
so there is NO portfolio backtesting, but ordinary single-security backtest.
In other words individual optimization performs:
(NumSymbols)*(NumOptimization) single-security backtests.
Best regards,
Tomasz Janeczko
amibroker.com
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