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Hello ,
I am currently in that phase of trading system development where i
am putting stress on Optimisation of the systems i have got ready
.Unfortunately some of the systems which are showing extremely very
good returns on a sustained long term basis are also showing terrific
drawdowns during a very few stages which would give anyone butterflies
.I would like to evaluate your Optimisation DLL .Any link to the same
would be nice.
(In Jest)-Is it necessary to go to warmer climes for full time
trading.I mean we are not migratory birds though we may migrate
between currencies , stocks ,gold , silver , lean hogs , cotton etc
etc.I stay in extremely cold conditions a few months of the year where
temps are sometimes below freezing .Currently weather here is fine and
sunny and just right for some OPtimisation.
Thanks for the info.
--- N !!
--- Steve Dugas <sjdugas@xxxxxxxxxxx> wrote:
> Hi Fred,
>
> I have seen you refer to "intelligent optimization" in previous
> messages.
> Honestly, I can't claim to know very much about it, but I am guessing
> that
> you have determined your PSO approach to be the most feasible method
> of
> attacking this for the time being? I downloaded your original version
> when
> you first posted it, but have not been able to look at it yet.
> Unfortunately, with a full-time job and the need to concentrate on my
> trades
> at night, I had to pretty much abandon the idea of exploring new
> approaches
> a while back due to lack of time.
>
> The good news (for me, anyway :-) is that within a month or two, I
> will
> have moved on to warmer climes and full-time trading, at which point
> I will
> be able to resume coding on a few ideas that I have.
>
> I am actually very interested in optimization. You may recall that I
> wrote a
> DLL a year or two ago which automatically returns the optimal value
> of
> several built-in indicators for each individual stock. At the time,
> this
> approach was roundly denounced by some of the more experienced
> traders, and
> in fact, I actually tried it for a while, with only mediocre results.
> But
> based on these results, I have some ideas/plans for refining and
> backtesting
> this approach, which I have put on hold for now because it looks like
> a
> major coding job. The results, of course, remain to be seen, but when
> the
> time comes, I would be very interested in hearing your opinion and,
> if you
> think you might be interested, possibly getting your feedback on ways
> to
> improve it via these intelligent optimization and/or sensitivity
> testing
> methods. OK, getting late now here, time to look at some charts.
> Thanks
> again for the code below, and looking forward to your response!
>
> Steve
>
> ----- Original Message -----
> From: "Fred" <ftonetti@xxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, April 05, 2005 12:10 AM
> Subject: [amibroker] Re: Optimizing & Robustness of single parameters
>
>
> >
> >
> > 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
> >> >>
> >> >>
> >> >> Yahoo! Groups Sponsor
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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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> >> >>
> >> >> 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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> >> >> Yahoo! Groups Links
> >> >>
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> > of
> >> > Service.
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> > 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
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >> >
> >
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
> >
> >
>
>
>
Warm regards,
Natasha !
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