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neo,
The link below may help.
http://www.russell.com/us/indexes/us/methodology/default.asp
Tim
---------- Original Message ----------------------------------
From: "neo" <neo1@xxxxxxxxx>
Reply-To: metastock@xxxxxxxxxxxxx
Date: Mon, 20 Nov 2000 11:40:16 -0500
>What do these 3 indexes represent? How are they formed?
>
>neo
>
>-----Original Message-----
>From: owner-metastock@xxxxxxxxxxxxx
>[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of rudolf stricker
>Sent: Friday, November 17, 2000 4:10 AM
>To: metastock@xxxxxxxxxxxxx
>Subject: goal function in trading system optimization
>
>
>
>List,
>
>I wonder, which kinds of goal functions are appropriately used in
>trading system optimization ...
>
>At this time, I'm using a combination of profit, no of winning / no of
>loosing trades, wins / loss, and shape of probability distribution of
>losses, all taken over a (weighted) five years period
>
>Should I add any other important aspect? Or should I leave out any of
>the above parameters? And what about the "best" kind of combining
>these "multidimensional" optimization targets? - Any hints?
>
>mfg rudolf stricker
>| Disclaimer: The views of this user are strictly his own.
>
>
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