Re: [amibroker] Optimizing Rotational - Curious Result

["Steve Dugas" <sjdugas@xxxxxxxxxxx>]

Hi Ken - FWIW, on the opts I am doing with CMAE ( using 31 runs ), the progress bars says I have 1.5 billion opt steps and will take over 5 years to run, but it always converges within 10 minutes or so and often quicker. I would just let it run, at least for say, 30 or 60 mins, you will probably find that it finishes even quicker.

 

Oh BTW, I think you were recently looking for something that handles huge CSV files?  I found this a couple of days ago, looks very good, apparently does everything, it's free, supposedly spyware-free, was going to try it before I recommended it to you but haven't had a chance yet. But as long as I am writing anyway here it is...

 

http://www.snapfiles.com/get/csvdb.html

 

Steve

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

From: Ken Close

To: amibroker@xxxxxxxxxxxxxxx

Sent: Tuesday, August 12, 2008 12:30 PM

Subject: RE: [amibroker] Optimizing Rotational - Curious Result

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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