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RE: [amibroker] optimization



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<SPAN 
class=531292304-29102003>interesting, do keep us posted. <FONT 
face="Courier New" color=#0000ff size=2>thought 
theoretically the only thing we gain from more efficient optimization is the 
ability to scan a wider parameter value space more quickly, in practice that 
might be the difference between things we can do and things we 
can't.
<SPAN 
class=531292304-29102003> 
<SPAN 
class=531292304-29102003>I'm still most interested in ways to evaluate the 
results of a trading system that predict future return better than equity 
growth. keep us posted on any breakthroughs in that area too 
(:-)
<SPAN 
class=531292304-29102003> 
<SPAN 
class=531292304-29102003>dave
<BLOCKQUOTE 
>
  
  <SPAN 
  >Hi Ed and Dave 
  &#8211;
  <SPAN 
  > 
  <SPAN 
  >I don&#8217;t think the 
  simplex method is applicable in this case.  Its use is to solve linear 
  programming problems by moving along the edge of the convex space defined by 
  the constraining inequalities.  If we had a well formed set of 
  inequalities, and if we knew the space they defined was convex, and if we knew 
  the optimal solution was at one of the vertices, then we might try to simplify 
  the parameter search using the simplex method or something similar.  
  Unfortunately, none of those three ifs are satisfied for our model development 
  problem.
  <SPAN 
  > 
  <SPAN 
  >I am in the process 
  of designing and programming a genetic search routine (as a dll plugin) that 
  will look throughout the search space by itself and keep track of the best 
  solutions found.  It avoids the problem of setting up a x by y by z 
  optimization that steps through all the possibilities in order.  I plan 
  to be able to specify any optimization complexity, start the processing using 
  any reasonable values for the optimization variables, and let the search run 
  by itself.  When it times out, counts out, or is interrupted, a list of 
  the best solutions is available for further testing.
  <SPAN 
  > 
  <SPAN 
  >When I get it 
  working, and if it looks promising, I&#8217;ll share the code.  But don&#8217;t hold 
  your breath.
  <SPAN 
  > 
  <SPAN 
  >Howard
  <SPAN 
  > 
  <SPAN 
  > 
  <SPAN 
  > 
  <DIV 
  >
  <SPAN 
  >-----Original 
  Message-----From: Dave 
  Merrill [mailto:dmerrill@xxxxxxx] <SPAN 
  >Sent: Friday, October 24, 2003 1:29 
  PMTo: 
  amibroker@xxxxxxxxxxxxxxx<SPAN 
  >Subject: RE: [amibroker] 
  optimization
  <SPAN 
  > 
  
  <SPAN 
  >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:
  
  <SPAN 
  > 
  
  <SPAN 
  ><A 
  href="">http://flash.lakeheadu.ca/~kliu/simplex.htm
  
  <SPAN 
  > 
  
  <SPAN 
  >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.
  
  <SPAN 
  > 
  
  <SPAN 
  >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.
  
  <SPAN 
  > 
  
  <SPAN 
  >dave
  
  <SPAN 
  > 
  <BLOCKQUOTE 
  >
    <SPAN 
    >Since I am playing with the Optimization function 
    right now I was <SPAN 
    ><FONT 
    face="Courier New">wondering the following. If you optimize a set op 
    parameters simultaneously than 
    the Optimization procedure calculates all <FONT 
    face="Courier New">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?<FONT 
    face="Courier New">regards, Ed
  <SPAN 
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