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



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Thank you Tomasz, March 2009 S&C Traders' Tips is not out yet.
Is there anything in help or on-line doc's I can read now?

Regards
Richard

--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> 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@xxx>
> 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@> 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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>



------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

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