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Re: [amibroker] Re: The EASIEST way to use new optimizer engines



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When I said about unhappiness I didn't mean you. 

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 28, 2008 2:37 AM
Subject: [amibroker] Re: The EASIEST way to use new optimizer engines


> 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
>> > 
>> > 
>> >
>>
> 
> 
> 
> ------------------------------------
> 
> 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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