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Hi Curt --
When you make these runs, you will get the Monte Carlo results of selecting random portfolios. And you will see a wide variation in performance. If your system looks good to you, and you begin to trade it, how will you select which stocks to take positions in when there are more opportunities than funds? If you have some thoughts about that, incorporate those into your positionscore. The alternative is to shake the dice.
Thanks,
Howard
On Thu, Jan 22, 2009 at 12:27 PM, Keith McCombs <kmccombs@xxxxxxxxxxxx> wrote:
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.
-----
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@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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