RE: [amibroker] Optimizing Rotational - Curious Result

[Ken Close <ken45140@xxxxxxxxx>]

I stopped the optimization after several minutes. The est time was increasing as I watched.

 

TJ said this was a trivial case which the cmae was not designed for.

---

From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of cstrader
Sent: Tuesday, August 12, 2008 9:56 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Optimizing Rotational - Curious Result

But did the cmae approach actually increase or decrease the time when you ran it?

 

 

----- Original Message -----

From: Ken Close

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, August 12, 2008 9:19 AM

Subject: [amibroker] Optimizing Rotational - Curious Result

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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