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Re: [amibroker] Sequential Optimizations for independent variables



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Sure, I know Tomasz... But that doesn't solve my problem. And my problem is that I am getting several conflicting values from the optimizer. In the underneath mentioned code there is a logical rule that says : Fast must be smaller than Slow. So when I am getting as optimal values a result like let's say Fast = 100 and Slow = 10, there is something wrong from a logical perspective. In practice I cannot accept these values. To avoid them I want to alter the result of the 'Objective Function' ( ObFn ) during the optimization process by simply changing the result in a very negative value so that in the Sort it will no longer be on top of the list. During the optimization process I need something like : if fast>slow then ObFn = -100. And that doesn't work because AB tells me that I am using a variable ( fast or slow ) not being initialized. What of course is correct. Therefore I would like to get these values with GetValue(). Hoping not to get the error message again -)
 
Regards, Ton.
 
 
----- Original Message -----
Sent: Tuesday, March 04, 2008 9:28 PM
Subject: Re: [amibroker] Sequential Optimizations for independent variables

The values are available as a result of OPTIMIZE function:
 
fast = Optimize("fast", 12, 5, 20, 1 );  // 'these are values of opt variables
slow =
Optimize("slow", 26, 10, 25, 1
);
 
(note optimize calls should be on GLOBAL level (i.e OUTSIDE "if" of custom backtest proc)

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
Sent: Tuesday, March 04, 2008 9:14 PM
Subject: Re: [amibroker] Sequential Optimizations for independent variables

Thanks for that one and something else about optimization Thomasz/Herman. I know how to get the built-in backtester statistics with GetValue. Let's say : 
 
RetValue      = st.getvalue("CAR");
 
But how do I get the values of both optimized values in underneath mentioned code ?
I tried the same way as above but failed. What I did was something like :
 
OptFast      = st.getvalue("fast");
OptSlow      = st.getvalue("slow");
 
But that did gave me errors. What's wrong with that ? Why ? The requested field is not available ? But didn't I initialize both fields in the Optimize instruction ? Both fields show up in the optimization list in AA. I don't understand what going wrong ...
 
SetCustomBacktestProc("");
if( Status("action") == actionPortfolio )
{
    bo =
GetBacktesterObject
(); 
    bo.Backtest(); 
 

    st = bo.GetPerformanceStats(
0); 
fast = Optimize("fast", 12, 5, 20, 1 );
slow =
Optimize("slow", 26, 10, 25, 1
);
Regards, Ton.
 
 
----- Original Message -----
Sent: Tuesday, March 04, 2008 2:19 PM
Subject: Re: [amibroker] Sequential Optimizations for independent variables

 
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
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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