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hi Dave,
there are several ways to Optimize "intelligently". The problem with
these methods is ofcourse that you might not find the true best
combination of variables.
Actually the code for most of the methods is written in C in
Numerical Recipes. But I'm not programmer enough unfortunately to
write dll files unfortunatelly.
I was also running a optimization with multiple variables and after a
while I needed to shut Amibroker down because it took a real long
time. I couldn't use the cancel button when the optimization was
being calculated and also I could not see the process-bar doing
anything. I wasn't sure if Amibroker was actually calculating or that
it was stuck inside some loop. Is this normal that the cancel button
does not work during the optimization?
regards, Ed
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> hadn't heard of it before, but found some articles describing it.
sounds
> like you're more familiar than I am with this kind of thing, but if
it's
> helpful, try:
>
> http://flash.lakeheadu.ca/~kliu/simplex.htm
>
> clearly you're right that reducing the number of combinations tried
would
> improve processing time. I'm particularly interested in this
because my
> auto-optimization framework needs to do this independently for each
ticker.
>
> I don't have the time to code this reference up in AFL, and
probably not the
> math expertise either. if you do it, please let me know, and I'll
look into
> adding it to the auto-optimize thing.
>
> dave
>
> Since I am playing with the Optimization function right now I was
> wondering the following. If you optimize a set op parameters
> simultaneously than the Optimization procedure calculates all
> possible combinations of variables. There are a number of
techniques
> that avoid this e.g. the simplex method.
>
> Did anyone work on such a function?
>
> regards, Ed
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