[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: random optimization?



PureBytes Links

Trading Reference Links

Hi,

Just use the default, built in, exhaustive optimizer (i.e. do not call 
OptimizerSetEngine).

You only have 60 iterations, so there is no need for a non exhaustive 
optimizer. Non exhaustive optimizers are targeted at problems that 
have too many combinations to evaluate in any reasonable amount of 
time (e.g. hundreds of thousands or more iterations that would takes 
days, months or years to complete).

Note, however, that when using an exhaustive optimizer you have to 
avoid over optimization, also known as curve fitting or of using up 
all of the degrees of freedom.

Tomasz wrote an interesting article that appears to address exactly 
what you are doing (seeking optimal time frame) while at the same time 
attempting to avoid curve fit solutions:

  http://www.amibroker.com/docs/MTFIndicators.html

Also, when you say "variable results", what exactly do you mean? It 
should be expected that at each step of a walk forward analysis, some 
parameters may change.

Since market conditions change during each in sample period (e.g. bull 
to bear), a new optimal set of parameters will likely result, which 
will no longer coincide with the previous in sample period that was 
calculated under different conditions (e.g. was bull, now is bear). 

  http://www.amibroker.com/guide/h_walkforward.html

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "gabriel_id@xxx" <finance@xxx> 
wrote:
>
> OK..
> 
> Can u give me what type of engine and with what kind of settings 
will
> get the same results when i optimize this lines:
> 
> N = Optimize("N-minutes", 33, 1, 60, 1); 
> TimeFrameSet( N * in1Minute ); 
> MA1 = MA( Close, 10); 
> MA2 = MA( Close, 20); 
> BuySignal = Cross( MA1, MA2); 
> sellSignal = Cross( MA2, MA1); 
> TimeFrameRestore(); 
> 
> Buy = TimeFrameExpand(BuySignal , N*in1Minute); 
> Sell = TimeFrameExpand(sellSignal , N*in1Minute); 
> 
> I tried cmae, 5 , 1000, have variable results.. on walkforward
> i tried spso, 5, 1000, same variables results.. 
> and also trib, 5, 1000.. 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> >
> > Tribes is a non exhaustive optimizer, meaning that it does not 
> > evaluate every possible combination.
> > 
> > As such, it is possible that it will find different "optimal" 
> > solutions every time, depending on the nature of the surface being 
> > optimized. For example; If the surface has many similar peaks, it 
may 
> > land on a different one each time (local optima) instead of the 
one 
> > true optimal solution (global optima).
> > 
> > Try increasing the number of Runs and/or MaxEval. If you have more 
> > than 2 or 3 optimization variables, 1000 MaxEval is not enough.
> > 
> > http://amibroker.com/guide/h_optimization.html
> > 
> > Mike
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "gabriel_id@" <finance@> wrote:
> > >
> > > hi there,
> > > 
> > > i am a bit confused, i run the same optimization process.. on 
same
> > > data range..  and i got different results each time :)
> > > 
> > > and the engine was trib, 5, 1000...
> > > 
> > > thx,
> > > GV
> > >
> >
>




------------------------------------

**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com
*********************

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html

*********************************
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    mailto:amibroker-digest@xxxxxxxxxxxxxxx 
    mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/