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I don't get email from the forum ... is that a Yahoo email address ?
Oh, and btw ... it is NOT a dll per se ... it is a vbscript (
automation ) which runs AB/AA/Optimization in short bursts,
evaluates the results and decides where to go next.
If your system can be optimized with exhaustive search then PSO won't
do anything for you.
--- In amibroker@xxxxxxxxxxxxxxx, Natasha !! <dynomitedoll_ddd@xxxx>
wrote:
>
> 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@xxxx> 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@xxxx>
> > 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
> > >> >> ADVERTISEMENT
> > >> >>
> > >> >>
> > >> >>
> > >> >>
> > >> >> Send BUG REPORTS to bugs@xxxx
> > >> >> Send SUGGESTIONS to suggest@xxxx
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> > amiquote@xxxxxxxxxxxxxxx
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> > >> >> --------------------------------------------
> > >> >> 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
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> > >> >>
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> > > 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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> > >> > ----------
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> > >> >>
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> > >> >
> > >> >
> > >> >
> > >> >
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> > 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
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >
> > >
> > >
> > >
> > >
> > >
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only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
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> > >
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
> >
> >
>
>
> Warm regards,
> Natasha !
>
>
>
>
>
>
>
>
>
>
>
>
>
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