Hello, You were using Microsoft's random in the formula you posted. Random() AFL function uses Microsoft rand() function from the C run time library. mtRandomA uses Mersene Twister algorithm which is way superior and specifically designed for use in Monte-Carlo applications. Consult the manual http://www.amibroker.com/f?mtrandom for more details.
To plot histogram, you need to: a) copy paste results to Excel (Ctrl+C in AA window, then Ctrl+V in Excel) b) in Excel one can easily create distribution chart of any system metric using Tools->Data Analysis, "Histogram" option. (Assumes that you have Data analysis add-on installed in Excel - it can be found on Office CD-ROM/DVD) Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: Keith McCombs To: [email protected] Sent: Thursday, January 22, 2009 8:27 PM Subject: Re: [amibroker] Re: Using Optimizer with PositionScore=Random() 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 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 <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. > > > > >
