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[amibroker] Optimizing Rotational - Curious Result


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  • Subject: [amibroker] Optimizing Rotational - Curious Result
  • From: "Ken Close" <ken45140@xxxxxxxxx>
  • Date: Tue, 12 Aug 2008 09:19:22 -0400
  • Authentication-results: gwout1 smtp.user=ksclose; auth=pass (LOGIN)

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I thought this was a curious development---I wondered if it was possible to optimize a rotational model.  Of course it is.
 
To test, I stuck three variables into a fairly long afl code (complex positionscore calculations).
Raw optimization said 75 steps, estimated time ~ 4 minutes.
 
I added the cmae engine statement at the beginning and the optimize screen said 9662 steps with est time of ~ 6 hours.
 
I thought the "cmae" optimization step would decrease time, not increase the time so dramatically.
 
What do you think was going on?
 
Have any of you optimized a rotational strategy?
 
Ken
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