Howard, Good suggestion. In real trading it is "first come first served" based upon tick data. I can't incorporate that into the backtesting. If I knew the probability of getting filled, based upon something else, like liquidity or bar volume, then I could factor that in, but I haven't done a statistical analysis of my missed versus filled trades.
Curt --- In [email protected], Howard B <howardba...@...> wrote: > > 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 <kmcco...@...>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. > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > > > ----- Original Message ----- > > *From:* Keith McCombs <kmcco...@...> > > *To:* [email protected] > > *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 [email protected], Keith McCombs <kmccombs@> 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] <amibroker%40yahoogroups.com> > > <mailto:amibroker% <amibroker%25>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. > > > > > > > > > > > > > > > > > >
