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I think it's a great idea! I'm speaking as one who ran an
optimization on 4 variables last night and it took over 3 hours.
Also, the range and increments used for the variables weren't as
comprehensive as I would have liked.
Your idea would have allowed me to put in the values I really wanted
and let it run as long as I want.
A refinement on your idea: backtest results could be constantly
sorted in the AA window so you could visually tell when the values of
the independent variables results on your principal variable of
interest (e.g., profit %) are meaningful.
Seeing this type of information in realtime would also allow you to
stop and manually adjust the ranges to cut down on total time
required.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "dwrowley_2000" <dwrowley@xxxx>
wrote:
> Amibroker's Optimize() feature is incredibly powerful, but of
course
> when you are optimizing against a number of independent variables,
> and each variable has a fair range, the geometric explosion gives
> rise to an intimidating amount of time for an exhaustive search.
>
> I believe Wealth-Lab has a 'Monte Carlo' option that randomly picks
> values for each of the optimized variables (within their range,
> according to the step). The simulation runs for as many iterations
> as you want (you manually stop it) and then it sorts the simulation
> runs by net profit. This allows you to search a large space of
> variables, albeit imperfectly.
>
> What do you think? Would that be useful? I would imagine it would
> relatively straightforward to implement (since Tomas has already
done
> all the hard work of setting it up for optimization).
>
> Amibroker is an amazing tool - thanks to Tomas for all his great
> work!
>
> Regards,
> David
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