TJ --
I didn't know about mtRandomA. I'll make some changes now.
Thank you.
-- Keith
Tomasz Janeczko wrote:
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
<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 <mailto:[email protected]>
*To:* [email protected] <mailto:[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 <mailto:[email protected]>
*To:* [email protected]
<mailto:[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]
<mailto:[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>
<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.
> >
> >
>
