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" <[email protected]> To: <[email protected]> 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 [email protected], Keith McCombs <kmcco...@...> 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 [email protected] > <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. >> > >> > >> > > > > ------------------------------------ > > **** 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 > ********************* > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > ********************************* > Yahoo! Groups Links > > >
