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Hi Steven --
The answer is in the combinatorics.
If I ask for the best combination of, say, 5 stocks from among 20 choices, we are asking "what is the best choice of 20, taken 5 at a time?" The number of possibilities that must be evaluated is
n! / (r! * (n-r)!)
where n is 20, r is 5, and ! is the factorial operation.
As the universe being searched increases from 20 to 300, the number of combinations searched increases at a rate much higher than exponentially.
The sterling approximation of n! is sqrt(2 * pi * n) * (n ^ n) * exp(-n)
Thanks,
Howard
On Thu, Jan 14, 2010 at 4:29 PM, stevenjhamon <stevenjhamon@xxxxxxxxx> wrote:
I have a rotational system that takes about 30 min to optimize when I run it on a basket of 20 stocks. When I run it on a basket of 300 stocks, it takes more than 5 days, which is proportionally much greater.
I use esignal datafeed, optimize with cmae and have 5 variables, 17177 optimization steps.
Is there any way to speed this up? I tried changing the number of bars to load and memory used in the preferences but it didnt help.
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