Herman
I did something similar, but rather basic about a year ago ... Unfortunatly I never completed a decent AFL program to do this reasonably.
From Memory, I believe I created a disk text file of individual issue backtest results, then in a two pass program. Then read text file and:
- Averaged the gains in pass 1
-In pass 2, eliminated all issue that had a performance less that 50% (arbitrary value) than above computed average. I wrote remaining symbols to a new watchlist.
The new watchlist when backtested was considerable better than original watchlist.
With a little more sophisticated AFL, a single program should be able to do this with less manual work.
Further optimization may enhance performance.
Hope this helps
Ara
Thank you Steve,
These are good links, however, because we have all the stats already build-in in Amibroker I was thinking of using the Optimizer/Portfolio Backtester and then select the best portfolio by sorting the summary rows.
I envisage that, because of the large number of combinations involved, the process can be simplified by pre-screening the individual tickers on the basis of individual performance for the portfolio trading system. The optimizer is extremely fast so it might just be possible to do this with the tools we have.
Since this would seem a standard task for portfolio traders I would like to hear from traders who have actually done this, or have looked into the possibility of doing so. Perhaps the special optimizer engines (spso, trib, or vmae) can be used to find some good ticker combinations.
Thanks again Steve!
Herman
Posted by: Ara Kaloustian <ara1.kaloustian@gmail.com>
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