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The next for systems w/more then 2 parameters where exhaustive search
is not feasible is to incorporate sensitivity testing of parameter
values in the optimization process so that one winds up with a
relatively insensitive group of parameter values. This IS doable
using an intelligent optimization process.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas" <sjdugas@xxxx> wrote:
> Thanks Fred - very nice idea!
>
> FWIW, I just realized that Herman sent the code for his graphs in a
> follow-up message to the original. Here it is for anyone that might
be
> interested.
>
> Steve
>
> ----- Original Message -----
> From: "Fred" <ftonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, April 04, 2005 9:22 PM
> Subject: [amibroker] Re: Optimizing & Robustness of single
parameters
>
>
> >
> >
> > 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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> >>
> >>
> >>
> >>
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> >>
> >> ----- 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
> >>
> >>
> >>
> >>
> >>
> >> -----------------------------------------------------------------
---
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> > Service.
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
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> >
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> >
> >
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> >
> >
> >
> >
> >
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> >
> >
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