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Your answer was anticipated in my answer.
No, I am not unhappy about evolutionary optimization becoming a
feature in AB, or the future possibilities implied by
your 'demonstrations', of the opt plugin possibitities, to developers.
I didn't speak a word against the beta release.
I wonder what % of time the 7000 AB users spend optimizing as
compared to other tasks?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> FYI: using new optimizer engine (cmae) to optimize seemingly
> simple 3 parameter (ranging 1..100) system gives speed up
> of more than 1000 times, as cmae optimizer is able to find best
> value in less than 1000 backtests compared to one million backtests
> using exhaustive search. It also outperforms PSO usually by factor
of 10.
>
> That is 500 times faster than you would get from exhaustive opt
using your dual core
> and 5 times faster than PSO on dual core.
>
> CMA-ES delivers MORE in terms of speed with LESS development time.
>
> Of course there is always 1% of people who are always unhappy no
matter what
> (unfortunatelly they are also the loudest).
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "brian_z111" <brian_z111@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, June 28, 2008 1:05 AM
> Subject: [amibroker] Re: The EASIEST way to use new optimizer
engines
>
>
> > Sorry to spoil the party but high achievers don't take much time
out
> > for celebrations.
> >
> >>In any case this still doesn't address the other issues
> >
> > Yes, it is a very long list, perhaps one that is becoming
> > unmanageable.
> >
> > >not to
> >>mention the inability to put the prowess of todays multicore
> >>processors to work ...
> >
> > Once again, a fact of 'computer life' - the pace of IT progress
is
> > relentless - there is no mercy for developers in that regard.
> >
> > So, whether the 'gains' of multicore processing are real, or not
> > (compared to other, less spectacular, but perhaps more measurable
> > gains on the clock) the perception is that single core processing
> > is 'old hat' and that AB has been left behind (three years
already?)
> >
> > (As the dog would say on American Idol, "Just keeping it real,
man".
> >
> > brian_z
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, ftonetti@ wrote:
> >>
> >> I was already well aware of this particular algorithms abilities
> > and short comings and you are of course entitled to your own
> > opinion ... In any case this still doesn't address the other
issues
> > not to mention the inability to put the prowess of todays
multicore
> > processors to work ...
> >>
> >> ----- Original Message -----
> >> From: Tomasz Janeczko
> >> Date: Friday, June 27, 2008 3:03 pm
> >> Subject: Re: [amibroker] The EASIEST way to use new optimizer
> > engines
> >> To: amibroker@xxxxxxxxxxxxxxx
> >>
> >> > I disagree. Plateaus are found "by design", at least using CMA-
> >> > ES algorithm that internally uses sensitivity as stopping
> > criterion.
> >> >
> >> > Best regards,
> >> > Tomasz Janeczko
> >> > amibroker.com
> >> > ----- Original Message -----
> >> > From: ftonetti@
> >> > To: amibroker@xxxxxxxxxxxxxxx
> >> > Sent: Friday, June 27, 2008 8:54 PM
> >> > Subject: Re: [amibroker] The EASIEST way to use new optimizer
> >> > engines
> >> >
> >> > I agree ... This is the area that intelligent optimizers
shine ...
> >> >
> >> > However, the plateaus you refer to won't be found except by
> >> > accident and even less likely to be found are the middle of
the
> >> > plateaus without the additional abilities to be able to be
> >> > driven by fitness modifiers i.e. goals, constraints etc. and
> >> > most importantly parameter sensitivity during the in sample
> >> > optimization process as well as having more sophisticated than
> >> > calendar based walk forward testing for out of sample.
> >> >
> >> > ----- 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
> >> > > >>>>
> >> > > >>>> ------------------------------------
> >> > > >>>>
> >> > > >>>> 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
> >> > > >
> >> > > >
> >> > > >
> >> > >
> >> > > ------------------------------------
> >> > >
> >> > > 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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