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Gary,
The procedure you describe does not make any sense.
In the simple example
x=Optimize("x",10,10,100,10);
b=Optimize("b",10,10,50,10);
s=Optimize("s",50,50,90,10);
Buy=Cross(StochD(x),b);
Sell=Cross(s,StochD(x));
the optimal solution is [30,20,80]
If I optimize first the x, ie
x=Optimize("x",10,10,100,10);
b=10;//Optimize("b",10,10,50,10);
s=50;//Optimize("s",50,50,90,10);
Buy=Cross(StochD(x),b);
Sell=Cross(s,StochD(x));
[optimal x=80]
then the b, ie
x=80;//Optimize("x",10,10,100,10);
b=Optimize("b",10,10,50,10);
s=50;//Optimize("s",50,50,90,10);
Buy=Cross(StochD(x),b);
Sell=Cross(s,StochD(x));
[optimal b=10]
and finally the s, ie
x=80;//Optimize("x",10,10,100,10);
b=10;//Optimize("b",10,10,50,10);
s=Optimize("s",50,50,90,10);
Buy=Cross(StochD(x),b);
Sell=Cross(s,StochD(x));
[optimal s=90]
I will have the [80,10,90] solution, which is far from the actual
optimal [30,20,80]
Unfortunately, the optimal[x,b,s] *is not* the optimal[optimal[optimal
[x],b],s], consequently this procedure is wrong from the beginning.
There is no chain rule for composite optimizations and you will have
very few probabilities to find the optimal.
Another basic issue: You do not even have the
optimal[optimal[x],y] equal to optimal[optimal[y],x]
property, both will be far from the optimal[x,y] and you can not even
interchange the priorities.
Herman,
The results of cascade optimizations will not give the optimal
result, even if you save some time. As for this last property, I do
not think you save any time, optimization is an internal loop, as far
as I understand...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> You can optimize using for() loops and examples of this method have
been
> posted on the list. This would allow you to optimize one parameter
first in
> the first loop-optimization and then go on the the next loop-
optimization
> using the result of the first loop-optimization in your
calculations. This
> way you will save lots of time and you can optimize an unlimited
number of
> parameters without looking at billions of iterations.
>
> happy tinkering,
> herman.
>
>
> -----Original Message-----
> From: Gary A. Serkhoshian [mailto:serkhoshian777@x...]
> Sent: November 13, 2003 7:00 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Help on automating optimization (genetic
algorithms)
>
>
> Hi all,
>
> I should preface this e-mail by saying that I'm not trying to
create a
> Rube Goldberg as I can go through the process ourlined below
manually. So,
> if what I'm suggesting requires a Rube Goldberg type solution let
me know,
> and I'll let it go.
>
> Essentially what I'm doing with optimizations over multiple
variables is
> prioritizing variables on importance, and optimizing one variable
at a time
> leaving the others static. I just keep iterating through all the
variables
> until things stabilize in terms of standard measures. The cocktail
party
> term is genetic algorithms, but between us it's necesary as
optimizing over
> multiple variables (4+) will either take too long or worse cause
AmiBroker
> to crash due to memory issues.
>
> Here's the punchline. Can you all give some input on ways to
program this
> in afl so as to automate the process outlined above rather than me
manually
> iterating through as it is labor intensive.
>
> Many thanks,
> Gary
>
>
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