Re: [amibroker] Re: Optimization Question, AmiBroker Email List Archive

If you are referring to sensitivity testing during in sample optimization then yes I understand ... But then one only needs the appropriate software / algorithms for this ... Which does not mean exhaustive search.

----- Original Message -----
From: Ton Sieverding
Date: Friday, January 9, 2009 9:21 am
Subject: Re: [amibroker] Re: Optimization Question
To: amibroker@xxxxxxxxxxxxxxx

> 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 ?!
>
> Correct ... But I have a good reason to get the complete grid
> and not just a small part of it. I am looking for an
> optimalization of area's. Not just points. But you're right,
> CMAE is about 5 minutes on my computer ... That's why I said
> 'even with CMAE' ... So yes, it's acceptable ...
>
> Regards, Ton.
>
>
> ----- Original Message -----
> From: ftonetti@xxxxxxxxxxxxx
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, January 08, 2009 5:33 PM
> Subject: Re: [amibroker] Re: Optimization Question
>
>
>
> 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 of f 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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