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Hello Mich,
Prediction or simulation of complex systems is a very big subject.
For our context I narrow it down to the field which is based in the
attempt to replicate human consciousness in a computer environment.
Human consciousness is the machine par excellence for heuristically
matching multiple objectives.
Research in this area is understandable; of course we want to push
the boundaries.
In other ways, however, it might merely be an enactment of a
psychological need to abrogate responsibility.
Two statements from the Calresco.org page aroused my scepticism about
suitability for trading application at this stage of research:
1. The basis of GA methodology is to *Identify the best compromise
(the Pareto-optimum) in the current context(?).
2. The area of Multiobjective Optimisation Problems is extremely
complex and mathematically difficult, with many under-researched
areas and outstanding problems.
I agree that IO appears the most likely candidate for Ami users.
Let's hope some champions of computer heuristics come forward to
defend the cause.
I actually went in the opposite direction, where I reduced the
evaluation objectives and methodology down to the simplistic mimimum;
but being a naive mathematician I would need to, wouldn't I.
Thanks for your post though, which as you say, opens the discussion
into other areas.
I am following the method with interest, just in case I am wrong and
have to abandon ship.
BrianB2 *:-)
--- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@xxx> wrote:
>
> Hello,
>
> Nice subject whitneybroach.
> I would like to open it to another field, the one of the multi-
objective
> optimizitation.
>
> Actually random walk, monte carlo can be made "raw", so you extract
all
> statitstic from each run, and finally you can look for the best
solution for
> several objective at the same time... but this is too too and...
too ...
> long time consuming if you have complex system with many parameters.
> MPC can be good, but I think it is long time computation too ?
>
> We got IO too (it use neural networks if i am right), thanks Fred,
it can
> have several goals, but i don't know how it works inside... are all
the
> goals reached during different optimization process (several
> single-objective optimization) or is it real multi-objective
optimization ?
>
> Here is a good articles on multi-objective optimization wich review
several
> methods (for gentics, but same can be used for trading i guess) :
> http://www.calresco.org/lucas/pmo.htm
>
> My question is, are their some people here who try to use some of
those
> another technics of non linear optimisation with multi-objective.
>
> Cheers,
> Mich.
>
>
>
> ----- Original Message -----
> From: whitneybroach
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, March 16, 2007 5:12 AM
> Subject: [amibroker] Detecting data mining bias with modified Monte
Carlo
> procedure
>
>
> While reading David Aronson's book _Evidence-based Technical
> Analysis_, I stumbled across a modified Monte Carlo permutation
> (MCP) procedure that compensates for data mining bias, assuming that
> the "best" permutation of rules was not selected with a directed
search.
>
> From Aronson's perspective, this is good news. He views data mining
> as a useful procedure in the discovery phase of research. Plus, MCP
> does not require out-of-sample data. Thus it is possible to use more
> data for mining and still minimize data mining bias in test results.
> The likely result: fewer false positives for systems that are
> worthless, and fewer false negatives for systems that are valuable.
>
> The paper with discussion and C# code is here:
> <http://www.evidencebasedta.com/MonteDoc12.15.06.pdf>.
>
> Aronson's book site, including a link to Amazon, is:
> <http://www.evidencebasedta.com>. Separately, I'm looking forward to
> the imminent books from Howard
> <http://www.quantitativetradingsystems.com/> and Ralph Vince
> <http://tinyurl.com/2os2p7>.
>
> Not being a user of IO (or other AB add-ons), I have no idea if this
> MCP approach is already being used in the AB community. It looks
> interesting to me. MCP appears to require market data and trade data
> from every run, not simply the trade data. That suggests to me that
> an AB add-on, rather than a completely external program, would be a
> more straightforward implementation.
>
> Aronson also refers to a patented boostrap procedure that
accomplishes
> much the same thing, White's Reality Check, named for Halbert White,
> the patent holder. Apparently WRC is not available commercially.
>
> Best,
>
>
>
>
> _________________________________________________________________
> Découvrez le Blog heroic Fantaisy d'Eragon!
> http://eragon-heroic-fantasy.spaces.live.com/
>
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