Re: [amibroker] Sequential Optimizations for independent variables

["Howard B" <howardbandy@xxxxxxxxx>]

Hi Herman (and others who might be lurking) --

Herman correctly points out that this technique works when the two variables are independent.  

When the two variables are Not independent, such as two lookback lengths or moving average lengths or profit target and trailing stop settings, then running the optimizations in sequence can (but not always will) fail to find the best solution.  If the response surface of the objective function is smooth and convex (which is seldom the case for trading systems), sequential optimization works.  (Although it may require more than one pass over each variable.)  Otherwise, it is possible that the optimization either finds a local optimum (rather than the global optimum) or gets stuck someplace that is not necessarily near even a local optimum.  As the number of variables being optimized increases, the characteristics of the response surface become more complex and it is difficult to determine whether the variables are independent.

Thanks,
Howard

On Tue, Mar 4, 2008 at 6:19 AM, Tomasz Janeczko <groups@xxxxxxxxxxxxx> wrote:

 

Opt = Optimize("TotalOpt",10,1,200,1);

 

switch( 1 )

{

 case TotalOpt <=100:

     Opt1 = TotalOpt;

     Opt2 = 10;

     break;

 case TotalOpt > 100:

          Opt1 = 10;

          Opt2 = TotalOpt - 100;

          break;

}

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: Herman

To: AmiBroker User Group

Sent: Tuesday, March 04, 2008 2:10 PM

Subject: [amibroker] Sequential Optimizations for independent variables

Awhile back I suggested, on the feedback site, an option to perform sequential optimizations. The response was that this is already possible, however I can't figure out how. Can someone explain to me how to run the following two optimizations sequentially, that is independently, one after another?

Opt1 = Optimize("Opt1",10,1,100,1);

Opt2 = Optimize("Opt2",10,1,100,1);

Sequential optimization would only require 200 opt cycles, while the normal opt procedure is designed for dependent variables and requires 10,000 opt cycles. Sequential opts for independent variables would, in this case, be almost 100 times faster. I bet many users don't consider whether the opt variables are independent or not... doing so could turn a two hour opt into a 1 minute opt.

AFAIK, Opt()s cannot be if()d, and their arguments cannot be changed dynamically, right?

I must be (again) missing something obvious.

many thanks,

herman

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