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hi,
could be you are right Howard.
yes. In Numerical Recipes Chapter 10: "Minimization
or Maximization of functions" there are a couple of different methods that do
the job. I'm not really sure which of these methods is the best for our
problems. Maybe at some point I'll try to translate a couple of them to AFL
(since the code is pretty simple) but for now I have to much work with just
getting my trading systems up and running,
regards, Ed
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 29, 2003 5:08
PM
Subject: RE: [amibroker]
optimization
<FONT face=Arial color=#0000ff
size=2>Howard,
Ed
was probably referring to Nelder and Mead's search algorithm, which is
one of the better quick and dirty approaches--C
code is <FONT
face=Arial color=#0000ff size=2>given in 'Numerical Recipes in
C'.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Bob
<FONT face=Tahoma
size=2>-----Original Message-----From: Howard Bandy
[mailto:howardbandy@xxxxxxxxx]Sent: Tuesday, October 28, 2003
8:12 PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
RE: [amibroker] optimization
<SPAN
>Hi Ed and Dave
–
<SPAN
>
<SPAN
>I don’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’ll share the code. But don’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. <FONT
face="Courier New">Did anyone work on such a
function?regards,
Ed
<SPAN
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