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Obviously problems like this aren't going to be solved with exhaustive search ...
This is why there are artificially intelligent optimizaion engines whether they be imbedded in AB or not.
I can't say I have used the ones inside AB much since my initial investigation of them and long ago I posted my thoughts on the particular AB artificially intelligent optimization engine you reference.
I don't know how long 40k steps take to perform on your machine but a solution to the problem using a single processor took less than 5 minutes on mine. I wouldn't think AB's internal engine would take much more than this i.e. 40k steps @ 100 / sec = 400 secs ~ 7 minutes ?!
----- Original Message -----
From: Ton Sieverding
Date: Thursday, January 8, 2009 6:04 am
Subject: Re: [amibroker] Re: Optimization Question
To: amibroker@xxxxxxxxxxxxxxx
> Fred my problem with all kinds of combinations like in yr code
> is the following ...
>
>
>
> Even with CMAE ...
>
>
>
> Regards, Ton.
>
>
> ----- Original Message -----
> From: ftonetti@xxxxxxxxxxxxx
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, January 08, 2009 7:55 AM
> Subject: Re: [amibroker] Re: Optimization Question
>
>
>
> One way to code this is as below ...
>
> One could of course code in separate "Use" optimizable
> variables for each of the indicators to allow them to be
> independently used or not on the buy / sell side.
>
> The default values in the optimization statements below were
> arrived at from the best results based on CAR - MDD over the
> entire life of a common Index using daily data. Notice that the
> optimization process determined NOT to use the MACD indicator
> i.e. MACDUse = 0 but did employ the other two.
> RSILen = Optimize("RSILen", 43, 1, 100, 1);
>
> RSIUse = Optimize("RSIUse", 1, 0, 1, 1);
>
> RSIx = RSI(RSILen);
>
> RSIBuy = RSIx > Ref(RSIx, -1) OR RSIUse == 0;
>
> RSISell = RSIx < Ref(RSIx, -1) OR RSIUse == 0;
>
> StoLen1 = Optimize("StoLen1", 16, 1, 100, 1);
>
> StoLen2 = Optimize("StoLen2", 25, 1, 100, 1);
>
> StoLen3 = Optimize("StoLen3", 99, 1, 100, 1);
>
> StoUse = Optimize("StoUse", 1, 0, 1, 1);
>
> StoK = StochK(StoLen1, StoLen2);
>
> StoD = StochD(StoLen1, StoLen2, StoLen3);
>
> StoBuy = StoK > StoD OR StoUse == 0;
>
> StoSell = StoK < StoD OR StoUse == 0;
>
> MACDLen1 = Optimize("MACDLen1", 32, 1, 100, 1);
>
> MACDLen2 = Optimize("MACDLen2", 60, 1, 100, 1);
>
> MACDLen3 = Optimize("MACDLen3", 48, 1, 100, 1);
>
> MACDUse = Optimize("MACDUse", 0, 0, 1, 1);
>
> MACDx = MACD(MACDLen1, MACDLen2);
>
> MACDs = Signal(MACDLen1, MACDLen2, MACDLen3);
>
> MACDBuy = MACDx > MACDs OR MACDUse == 0;
>
> MACDSell = MACDx < MACDs OR MACDUse == 0;
>
> Buy = RSIBuy AND StoBuy AND MACDBuy;
>
> Sell = RSISell AND StoSell AND MACDSell;
>
>
>
> ----- Original Message -----
> From: longarm61
> Date: Thursday, January 8, 2009 12:49 am
> Subject: [amibroker] Re: Optimization Question
> To: amibroker@xxxxxxxxxxxxxxx
>
> > Thanks, appreciate it. If it's not too much trouble, could
> you
> > (or
> > someone) give me a quick example of how exactly that would
> be coded?
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, ftonetti@xxx wrote:
> > >
> > > One way to do this is to have an on/off ( 1/0 )
> optimizable
> > variable for each indicator so that individual indicators
> are
> > either
> > used or not and then let optimzation make the determination.
> > >
> > > ----- Original Message -----
> > > From: longarm61
> > > Date: Wednesday, January 7, 2009 8:25 pm
> > > Subject: [amibroker] Optimization Question
> > > To: amibroker@xxxxxxxxxxxxxxx
> > >
> > > > Is there a way to optimize a group of indicators so that
> the
> > > > results
> > > > not only give you the optimized values, but also tell
> you
> > which
> > > > indicators you'd have better off not using at all?
> Something
> > > > like
> > > > this:
> > > >
> > > > Best return: Indicator1=80, Indicator2=NO,
> Indicator3=50,
> > > > Indicator4=NO
> > > >
> > > > Thanks in advance,
> > > >
> > > > Grant
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
>
>
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