[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: Optimizing & Robustness of single parameters



PureBytes Links

Trading Reference Links


For systems with a single parameter this is of course fine ...

For systems with more then 2 two parameters where the 3d plots are no 
longer of great use it's a simple matter to generate random data 
points in the +/- n% range of what appears to be the optimum value to 
see how sensitive or not the parameter values actually are i.e.

Original System where the default values are assumed to be optimum 
but sensitivity is unknown ...

X = Optimize("X", 10, 1, 20, 1);
Y = Optimize("Y", 100, 1, 200, 1);
Z = Optimize("Z", 1000, 1, 2000, 1);

Sensitivity Tester for +/- 10%

Senstivity = Optimize("Sensitivity", 1, 1, 5000, 1);

X = Round((Random() - 0.5) * 2.99) + 10;
Y = Round((Random() - 0.5) * 20.99) + 100;
Z = Round((Random() - 0.5) * 200.99) + 1000;

The results based on whatever fitness metric interests you can be 
observed and sorted in the output of optimization and/or can be 
exported for further statistical analysis (distribution) in Excel.

--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx> wrote:
> Hi Natasha,
> 
> Here is the entire message intact, with thanks to Herman.
> 
> Steve
> 
> -------------------------------------------------------------------
> 
> In addition to using 3D surface maps to evaluate the Robustness of 
two or more parameters you may consider assessing the Robustness and 
across-market dependency of single parameters over a Watch list.
> 
> You can do this by superimposing equity lines for different 
parameter values to see whether they track over time (fan-out) . This 
is a far better method for evaluating systems and finding stocks than 
picking a high equity from the Optimization result table. If the 
equity ratios remain approximately constant your parameters are more 
Robust than if the Equities do not track. 
> 
> In my example I use Steve Karnish's CMO5 system (symmetrical 
triggers). To test this method on your own trading system you should 
substitute your own code inside the curly brackets of the System() 
function and substitute the variable named "TestParameter" for the 
parameter you like to evaluate. Here is a typical chart showing 
robust behavior:
> 
> 
> 
> Here is a chart for a system that may be over optimized and lacks 
robustness:
> 
> 
> 
> 
> Things to look for:
> 
> 1) Over-optimization: High profits but Equity lines move all over 
the place.
> 2) Robustness: Equity lines "fanout" keeping the system profitable 
under most TestParameter values
> 3) Synchronized dips; if all equities dip you can create an Equity-
composite and use it to qualify signals.
> 4) Stepping through the stocks in you workspace you can observe 
stock-synchronization
> 5) Is the optimum value optimum over time?
> 6) Straight equity lines
> 
> Happy trading,
> 
> Herman
> 
> 
>       Yahoo! Groups Sponsor 
>             ADVERTISEMENT
>            
>      
>      
> 
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: 
http://groups.yahoo.com/group/amibroker/files/groupfaq.html 
> 
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service. 
> 
>   ----- Original Message ----- 
>   From: Natasha !! 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Monday, April 04, 2005 1:02 PM
>   Subject: [amibroker] Optimizing & Robustness of single parameters
> 
> 
>    Hi,
>          Just going over the archieves and i dug out a mail i didnt 
quite well understand:
>   Since the attachments are not stored in the usergoups any graph 
to illustrate the same would be much obliged;
>              
>           Thanks.
> 
>   -- N !!
> 
> 
>   In add From: "Herman van den Bergen" <psytek@> 
>   Date: Thu Sep 4, 2003  9:44 am 
>   Subject: Optimizing & Robustness of single parameters ition to 
using 3D surface maps to evaluate the Robustness of two or more 
parameters you may consider assessing the Robustness and across-
market dependency of single parameters over a Watch list.
> 
>   You can do this by superimposing equity lines for different 
parameter values to see whether they track over time (fan-out) . This 
is a far better method for evaluating systems and finding stocks than 
picking a high equity from the Optimization result table. If the 
equity ratios remain approximately constant your parameters are more 
Robust than if the Equities do not track. 
> 
>   In my example I use Steve Karnish's CMO5 system (symmetrical 
triggers). To test this method on your own trading system you should 
substitute your own code inside the curly brackets of the System() 
function and substitute the variable named "TestParameter" for the 
parameter you like to evaluate. Here is a typical chart showing 
robust behavior:
> 
>         Chart for the above and for the below  
explanation.Thanks ???
> 
>   Here is a chart for a system that may be over optimized and lacks 
robustness:
> 
> 
> 
>   Things to look for:
> 
>   1) Over-optimization: High profits but Equity lines move all over 
the place.
>   2) Robustness: Equity lines "fanout" keeping the system 
profitable under most TestParameter values
>   3) Synchronized dips; if all equities dip you can create an 
Equity-composite and use it to qualify signals.
>   4) Stepping through the stocks in you workspace you can observe 
stock-synchronization
>   5) Is the optimum value optimum over time?
>   6) Straight equity lines
> 
>   Happy trading,
> 
>   Herman
> 
> 
> 
> 
>   Warm regards, 
>   Natasha !
>     
> 
> 
> 
> --------------------------------------------------------------------
----------
>   Yahoo! Messenger
>   Show us what our next emoticon should look like. Join the fun. 
> 
>   Please note that this group is for discussion between users only.
> 
>   To get support from AmiBroker please send an e-mail directly to 
>   SUPPORT {at} amibroker.com
> 
>   For other support material please check also:
>   http://www.amibroker.com/support.html
> 
> 
> 
> 
> 
> --------------------------------------------------------------------
----------
>   Yahoo! Groups Links
> 
>     a.. To visit your group on the web, go to:
>     http://groups.yahoo.com/group/amibroker/
>       
>     b.. To unsubscribe from this group, send an email to:
>     amibroker-unsubscribe@xxxxxxxxxxxxxxx
>       
>     c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.





------------------------ Yahoo! Groups Sponsor --------------------~--> 
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~-> 

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/