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



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TJ --
"PositionScore SHOULD be an array." -- Thank you.

"Microsoft's random" -- Who mentioned Microsoft's random?
I suggested exporting to a spread sheet for further analysis.  For example, I like to plot a histogram of the returns and scatter diagrams of different metrics.

-- Keith


Tomasz Janeczko wrote:

That is incorrect. PositionScore SHOULD be an array. Also use mtRandomA()
instead. Mersene Twister is way way way better than Microsoft's random.

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Thursday, January 22, 2009 7:13 PM
Subject: Re: [amibroker] Re: Using Optimizer with PositionScore=Random()

Richard --
runs = 1000;  // Number of runs using random scores
TotalRuns = Optimize("TotalRuns", 1, 1, runs, 1);
PositionScore = LastValue(Random());  // need value, not array
-- Keith

richpach2 wrote:

Keith,

How would you use Random() to set up an optimization to run say 1000
iterations overnight?

Regards
Richard

--- In amibroker@xxxxxxxxxps.com, Keith McCombs <kmccombs@xx.> 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@xxxxxxxxxps.com
<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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