Re: [amibroker] Re: Using Optimizer with PositionScore=Random()

["Tomasz Janeczko" <groups@xxxxxxxxxxxxx>]

Hello,

This is monte carlo simulation of random stock picks and the AFL code
how to do that is provided in March 2009 S&C Traders' Tips.

In short, you just add this to your formula

PositionScore = 100 * mtRand();
Optimize( "dummy", 1, 1, 1000, 1 ); // dummy variable to run 1000 iterations with random score

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "richpach2" <richpach2@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, January 22, 2009 10:20 AM
Subject: [amibroker] Re: Using Optimizer with PositionScore=Random()


> Keith,
> 
> How would you use Random() to set up an optimization to run say 1000
> iterations overnight?
> 
> Regards
> Richard
> 
> --- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>>
>> Curt --
>> IMO, it makes a whole lot of sense. 
>> 
>> Notice that if your strategy could select many stocks to trade, if you 
>> do not use Random(), the system is biased to those stocks whose symbols 
>> are near the front of the alphabet.
>> 
>> You can use Random() to set up an optimization to run say 1000 
>> iterations overnight.  Export the results to your favorite spread sheet 
>> and see a more realistic distribution of returns you might expect.
>> -- Keith
>> 
>> Curt wrote:
>> >
>> > --- In amibroker@xxxxxxxxxxxxxxx
> <mailto:amibroker%40yahoogroups.com>, 
>> > "Curt" <crcmcc@> wrote:
>> > >
>> > > Does it make sense to try to use the optimizer if PositionScore
> is set
>> > > to Random()? For example:
>> > >
>> > > OptimizerSetengine("cmae");
>> > > PositionScore = Random();
>> > >
>> > I should clarify that by setting PositionScore=Random(), runs with
>> > exactly the same parameters will not produce the same results. This is
>> > because, in the cases where the portfolio becomes fully invested, a
>> > different set of stocks will populate the portfolio each run.
>> >
>> >
>>
> 
> 
> 
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