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Hello,
Yes these are different solvers.
In principle only exhaustive search is guaranteed to find global optimum value.
Non-exhaustive (or "intelligent") methods will find global or local optimum.
The goal is of course to find global one, but if there is a single sharp peak
out of zillions parameter combinations, non-exhaustive methods may fail
to find this single peak, but taking it form trader's perspecive, finding single sharp peak
is useless for trading because that result would be instable (too fragile) and
not replicable in real trading. In optimization process we are rather looking
for plateau regions with stable parameters and this is the area where intelligent methods shine.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "cstrader" <cstrader232@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 27, 2008 8:25 PM
Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
> Thanks, that helps... basically these are all different variations of
> "solvers," right? And they don't care what they are modelling -- they just
> do the math looking for the single best solution? So it's just speed that
> matters? Or do different solvers get different solutions?
>
> And I echo all of the recent praises... take care of yourself Tomasz!
>
> Chuck
>
> ----- Original Message -----
> From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, June 27, 2008 2:05 PM
> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
>
>
>> Hello,
>>
>> These are general-purpose optimization algorithms of non-linear functions.
>> Any trading system is a function of certain number of arguments. The
>> inputs
>> are parameters and quotation data , the output is your optimization target
>> (say CAR/MDD). And you are looking for maximum of given function.
>>
>> I provided links to scientific articles describing the math that is
>> underlying these algorithms
>> - see the README file
>> http://www.amibroker.com/devlog/wp-content/uploads/2008/06/readme5130.html
>>
>> Some are based on nature (animal behavior) - PSO algorithm,
>> or biological process - Genetic algorithms,
>> and some are based on mathematical concepts derived by humans - CMA-ES.
>>
>> These algorithms are used in many different areas, including finance.
>>
>> Enter "PSO finance" or "CMA-ES finance" in Google and you will find lots
>> of info.
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "cstrader" <cstrader232@xxxxxxxxxxxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Friday, June 27, 2008 7:39 PM
>> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
>>
>>
>>> Yes, and more generally, what are these systems? They seem to mimic
>>> evolutionary processes... how are they applied to optimization? And how
>>> do
>>> we know that they work well for our particular needs -- are financial
>>> markets and Darwinian evolution really the same processes? Any sources,
>>> references appreciated.
>>>
>>> Thanks
>>>
>>>
>>>
>>> ----- Original Message -----
>>> From: "Thomas Ludwig" <Thomas.Ludwig@xxxxxx>
>>> To: <amibroker@xxxxxxxxxxxxxxx>
>>> Sent: Friday, June 27, 2008 12:43 PM
>>> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
>>>
>>>
>>>> TJ,
>>>>
>>>> the new engines work very well. But just one question:
>>>>
>>>>> (the best one which is CMA-ES).
>>>>
>>>> Are there still cases where the other engines are preferable? I mean
>>>> there must be a reason why you included them ;-)
>>>>
>>>> Best regards,
>>>>
>>>> Thomas
>>>>
>>>> ------------------------------------
>>>>
>>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>> http://www.amibroker.com/devlog/
>>>>
>>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>> http://www.amibroker.com/devlog/
>>>
>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
>
>
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