Re: [amibroker] The EASIEST way to use new optimizer engines, AmiBroker Email List Archive

----- Original Message -----
From: Tomasz Janeczko
Date: Friday, June 27, 2008 2:34 pm
Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
To: amibroker@xxxxxxxxxxxxxxx

> 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"
> To:
> 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"
> > To:
> > 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"
> >> To:
> >> 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"
> >>> To:
> >>> 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
> >>>>
> >>>> ------------------------------------
> >>>>
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> >>>>
> >>>>
> >>>>
> >>>
> >>>
> >>> ------------------------------------
> >>>
> >>> 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:
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> >>> 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.
>
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>
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>
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