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Thanks .
--- N !!
--- Fred <ftonetti@xxxxxxxxxxxxx> wrote:
>
> 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
> >
> >
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> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
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> > -----------------------------------------
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> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
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> >
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> 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 !
> >
> >
> >
> >
> >
> --------------------------------------------------------------------
> ----------
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> > 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/
> >
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> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms of
>
> Service.
>
>
>
>
Warm regards,
Natasha !
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