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thanks for the information...very nice.
----- Original Message -----
From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 27, 2008 7:28 PM
Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
> Hello,
>
> Exhaustive search is perfectly fine as long as it is reasonable to use
> it. Let's say you have 2 parameters each ranging from 1 to 100 (step 1).
> That's 10000 combinations - perfectly OK for exhaustive search.
> Now with 3 parameters you got 1 million combinations - it is still OK for
> exhaustive
> search (but can be lenghty). With 4 parameters you have 100 million
> combinations
> and with 5 parameters (1..100) you have 10 billion combinations.
> In that case it would be too time consuming to check all of them,
> and this is the area where non-exhaustive smart-search methods can solve
> the problem that is not solvable in reasonable time using exhaustive
> search.
>
> As to algorithm used by non-exhaustive search it looks as follows:
>
> a) the optimizer generates some (usually random) starting population of
> parameter sets
> b) backtest is performed by AmiBroker for each parameter set from the
> population
> c) the results of backtests are evaluated according to the logic of
> algorithm
> and new population is generated based on the evolution of results,
> d) if new best is found - save it and go to step b) until stop criteria
> are met
>
>
> Example stop criteria can include:
> a) reaching specified maximum iterations
> b) stop if the range of best objective values of last X generations is
> zero
> c) stop if adding 0.1 standard deviation vector in any principal axis
> direction does not change the value of objective value
> d) others
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "cstrader" <cstrader232@xxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, June 27, 2008 10:32 PM
> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
>
>
>> ...but I'm still a bit confused. If we use the default solver -- that
>> is,
>> we don't put an optimizerset = line in, then we get an exhaustive search,
>> right. Every possible combination of values is tested and compared.
>> Wouldn't that be the best solution if it's possible in a reasonable
>> timeframe?
>>
>> So, what happens when the cmae optimizer is used instead? Something like
>> this?
>>
>> 1. AB computes CAR/MDD from the default values of the optimizing
>> variables
>> 2. AB computes CAR/MDD from another set of optimizing variables
>> 3. 1 and 2 are sent to the optimizer, and it returns a set of variables
>> to
>> try next.
>> 4. Repeat 2 and 3 until a solution is reached?
>>
>> Sorry, but this is pretty new to me.
>>
>>
>>
>> ----- Original Message -----
>> From: "Tomasz Janeczko" <groups@xxxxxxxxxxxxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Friday, June 27, 2008 2:33 PM
>> Subject: Re: [amibroker] The EASIEST way to use new optimizer engines
>>
>>
>>> 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
>>>>
>>>>
>>>>
>>>
>>> ------------------------------------
>>>
>>> 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.
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SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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For other support material please check also:
http://www.amibroker.com/support.html
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