Hi Steven --
The answer is in the combinatorics.
If I ask for the best combination of, say, 5 stocks from among 20 choices,
we are asking what is the best choice of 20, taken 5 at a time? The
number of possibilities that must be evaluated is
n! / (r! * (n-r)!)
where n is 20, r is 5, and ! is
I have a rotational system that takes about 30 min to optimize when I run it on
a basket of 20 stocks. When I run it on a basket of 300 stocks, it takes more
than 5 days, which is proportionally much greater.
I use esignal datafeed, optimize with cmae and have 5 variables, 17177
optimization
