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Bruce,
Thanks for the out-of-the-box thinking. That is a clever way to
approach the problem. I will study it.
Best regards,
Dennis
On Jul 7, 2008, at 11:51 AM, bruce1r wrote:
> Dennis -
>
> I don't post here much, but was about to post something else and saw
> this. Sometimes I can't resist a challenge. It looks like you want
> to experiment with CMAE as a general purpose function optimizer.
> First, I concur with others - the best way is to write a DLL. But, if
> you just want to play ...
>
> Warning, this is a hack - and hack is not being used in the good way
> here. But it will allow you to play.
>
> 1. Setup AA to current symbol and set the Optimization target to
> "objective" in AA Settings / Walk-Forward
>
> 2. Optimize the following code. It is set for CMAE, but you might
> also find the commented out SPSO interesting. I've also done my best
> to re-express your objective function to what I think you meant.
> Check the comments.
> _____
>
> //REMEMBER - Set the Optimization target to "objective" in AA Settings
> / Walk-Forward
>
> //OptimizerSetEngine( "spso" );
> //OptimizerSetOption( "Runs", 2 );
> //OptimizerSetOption( "MaxEval", 1000 );
>
> OptimizerSetEngine("cmae");
>
> X = Optimize( "X", 1, 1, 100, 0.1 );
> Y = Optimize( "Y", 1, 1, 100, 0.1 );
>
> Buy = Sell = Short = Cover = 0;
>
> SetOption("UseCustomBacktestProc", True );
>
> if ( Status( "action" ) == actionPortfolio )
> {
> bo = GetBacktesterObject( );
> bo.Backtest( );
> // The original goal appeared to be to minimize the error of 100 -
> X*Y,
> // AND to minimize the difference between X and Y. In other
> words, a
> // result of X=10 and Y=10.
> // Note that this must be expressed as an objective to be maximized.
> Objective = - abs( 100 - X * Y ) - abs( X - Y );
> bo.AddCustomMetric( "objective", Objective );
> }
> _____
>
> It should be obvious how to setup any parameters and an objective.
> Hack doesn't seem strong enough, but it was an interesting diversion.
>
> -- Bruce
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
> wrote:
>>
>> Hello,
>>
>> In that case just look at the CMAE docs (the read me is inside
>> "cmaes")
>> If this is too complicated, you may need to use SciLab for example
>> www.scilab.org
>>
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: Dennis Brown
>> To: amibroker@xxxxxxxxxxxxxxx
>> Sent: Monday, July 07, 2008 4:46 PM
>> Subject: Re: [amibroker] Code help please... Optimize with CMAE
>>
>>
>> Thank you both for continuing to provide help.
>>
>>
>> I really do not need to solve an exhaustive search for two
> variables with a simplistic objective. I really need to solve
> problems that have many variables and a very complex objective formula
> that is not suitable for an exhaustive search.
>>
>>
>> I only provided this simplest of all cases so the the problem
> would not get in the way of my question of how to connect this simple
> case to the CMAE engine.
>>
>>
>> If that is too complicated to address on this list, then I will
> have to look elsewhere for help.
>>
>>
>> Again, thank you for your responses,
>>
>>
>> Dennis
>>
>>
>> On Jul 7, 2008, at 9:19 AM, Tomasz Janeczko wrote:
>>
>>
>> Hello,
>>
>> Here is the simplest exhaustive search sample:
>>
>> function Objective( x, y )
>> {
>> return sin(x) * cos(y);
>> }
>>
>> xmin = 0;
>> xmax = 100;
>> xstep = 1;
>> xbest = Null;
>> ymin = 0;
>> ymax = 100;
>> ystep = 1;
>> ybest = Null;
>>
>>
>> best = -1e9;
>>
>> for( x = xmin; x <= xmax; x += xstep )
>> for( y = ymin; y <= ymax; y += ystep )
>> {
>> f = Objective( x, y );
>>
>> if( f > best )
>> {
>> best = f;
>> xbest = x;
>> ybest = y;
>> }
>> }
>>
>> printf("Best f = %g, at x = %g, y = %g", best, xbest, ybest );
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: Paul Ho
>> To: amibroker@xxxxxxxxxxxxxxx
>> Sent: Monday, July 07, 2008 2:29 PM
>> Subject: RE: [amibroker] Code help please... Optimize with CMAE
>>
>>
>> I think using an exhaustive search would be a way to start.
> since you only have 2 parameters, you can also put a little bit of
> smart in there yourself.
>> for example, if X*Y == 100 or close to that. there can be a
> constraint in place to restrict the range of Y searched for a
> particular value of X, and vice versa,
>> Cheers
>> Paul.
>>
>>
>>
>> ------------------------------------------------------------------------
>> From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Dennis Brown
>> Sent: Monday, 7 July 2008 10:17 PM
>> To: amibroker@xxxxxxxxxxxxxxx
>> Subject: Re: [amibroker] Code help please... Optimize with
>> CMAE
>>
>>
>> Tomasz and Paul,
>>
>> Thank you for responding.
>>
>> Yes, I also had looked at those sources, but being that I am
> able to
>> only stumble along with C++, it is Greek to me.
>>
>> I think I would be better off trying to understand how to
> modify the
>> AmiBroker plugin DLL to call back my AFL objective function.
>>
>> It is still Greek, but at least it is a simpler and
> meaningful Greek
>> phrase to start with.
>>
>> I would still welcome any specific advice or hints in areas
> that I am
>> likely to stumble over.
>>
>> Best regards,
>> Dennis
>>
>>> On Jul 7, 2008, at 7:10 AM, Tomasz Janeczko wrote:
>>>
>>> Yes, these sources are actually included in what you
> already have on
>>> your hard disk
>>> under ADK\CMAE\cmaes
>>>
>>> Best regards,
>>> Tomasz Janeczko
>>> amibroker.com
>>>> ----- Original Message -----
>>>> From: Paul Ho
>>>> To: amibroker@xxxxxxxxxxxxxxx
>>>> Sent: Monday, July 07, 2008 12:22 PM
>>>> Subject: RE: [amibroker] Code help please... Optimize
> with CMAE
>>>>
>>>> Go to the guy's site where Tomasz download his source
> code from,
>>>> download his source code, and stare at that one instead,
> I think
>>>> its a lot closer to what you want.
> http://www.bionik.tu-berlin.de/user/niko/cmaes_c.tar.gz
>>
>>>>
>>>>
>>>> On Jul 7, 2008, at 4:05 AM, Tomasz Janeczko wrote:
>>>>
>>>> Dennis,
>>>>
>>>> The optimizer plugin architecture uses backtester. You
> can't go
>>>> without using backtester.
>>>> Call to pfEvaluateFunc invokes full-blown backtest for given
>>>> parameter set.
>>>>
>>>> If you would like to optimize "general purpose" functions
> without
>>>> using backtester,
>>>> you would need to take sources provided and write your
> own plugin
>>>> that won't
>>>> use backtesting engine at all.
>>>>
>>>> Best regards,
>>>> Tomasz Janeczko
>>>> amibroker.com
>>>> ----- Original Message -----
>>>> From: "Dennis Brown" <see3d@xxx>
>>>> To: <amibroker@xxxxxxxxxxxxxxx>
>>>> Sent: Monday, July 07, 2008 3:30 AM
>>>> Subject: [amibroker] Code help please... Optimize with CMAE
>>>>
>>>>
>>>>> Hello,
>>>>>
>>>>> I have been staring at the CMAE DLL stuff for days and I
> really need
>>>>> some help to figure out how to use it in a particular way.
>>>>>
>>>>> I would like to use the optimizer in a generic sense to
> do the
>>>>> following from AFL without using the internal
> backtester, meaning
>>>>> only
>>>>> AFL in indicator mode:
>>>>>
>>>>> Initialize 2 items:
>>>>> item 1 is X and has a default,min,max,step,current,best
> values
>>>>> 1,1,1000,1,1,1
>>>>> item 2 is Y and has a default,min,max,step,current,best
> values
>>>>> 1,1,1000,1,1,1
>>>>>
>>>>> The objective is to optimize X and Y so that X*Y==100
>>>>>
>>>>> objective function in AFL:
>>>>> function Objective()
>>>>> {
>>>>> return 100 - X*Y;
>>>>> }
>>>>>
>>>>> The steps I would need to take as I understand them are:
>>>>>
>>>>> 1. Initialize the X and Y OptimizeItems by calling
>>>>> OptimizerInit( with bunch of arguments) --most arguments are
>>>>> irrelevant to this test.
>>>>>
>>>>> 2. Start the optimizer engine by calling
>>>>> pfEvaluateFunc( pContext ) --
>>>>> there really is no context that I understand for this test.
>>>>>
>>>>> 3. The DLL calls back for the objective AFL function
>>>>>
>>>>> 4. It runs step 3 a number of times to find the solution
> of X=Y=10
>>>>>
>>>>> 5. OptimizerFinalize(same bunch of arguments as step 1)
>>>>>
>>>>> Of course I would prefer that step 3 is AFL calling the
> optimizer
>>>>> DLL
>>>>> instead (simple mode), but I did not think that is how
> the CMAE
>>>>> works.
>>>>>
>>>>> Anyway, if I could get this simple case to work, I am
> sure I could
>>>>> figure out how do do much more complicated cases after
> that on my
>>>>> own.
>>>>>
>>>>> Of course if there is no way to use the existing DLL
> without
>>>>> changing
>>>>> it, I would like to know that also. I should be able to
> make modest
>>>>> changes to the DLL myself.
>>>>>
>>>>> Please any hints or AFL code is appreciated.
>>>>>
>>>>> Best regards,
>>>>> Dennis
>>>>>
>>
>
>
>
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